We were very fortunate in 2011 when Shaykh Zulfiqar Ahmed [db] came to the UK. I remembered attending this lecture and hearing the Shaykh for the first time, his words permeated my heart and I fell in love with his words.
This particular segment impressed me, and the words stuck with me since they left the Shaykh's mouth, I have finally found the audio and wasted no time in translating it and bring it to you. In particular the last example of the mother is particularly amazing.
There are off course many other reasons as to why we get problems, but Shaykh mentioned a few unique ones:
1. Keeps us mindful and close to Allah
2. To raise our ranks, so our duas are accepted
3. To clean/purify us from sin