Why does Daniel ask his friends to "plead for mercy"?
Their lives depended on Daniel being able to tell the king his dream & what it means, only God can reveal that to Daniel.
According to Scripture, is intercessory prayer important?
1Tim 2:1 says" Therefore I exhort first of all that supplications, prayers, intercessions (which is praying for others) of thanks be made for all men. If I believe that God's word and follow his commands then yes it's very important.
Is it effective?
Yes
How can we implement intercessory prayer in our churches?
I believe that if the churches are in line with God's word then intercessory prayer is a big part of any church already.