There are many things in life that vie for your identity. It's far to easy to identify yourself by your job, your education, your role in life, your place in the family, etc. The moment you are baptized into the name of God, you become God's child. As Christians, we are God's children through the new life that He grants us in the waters of Holy Baptism. Luther emphasizes the importance of the Sacrament:
For it is of the greatest importance that we value Baptism as excellent, glorious, and exalted... Here stand God's Word and command, which institute, establish, and confirm Baptism. What God institutes and commands cannot be an empty thing. It must be a most precious thing, even though it looked like it had less value than a straw. Up to now people could consider something great when the pope with his letters and bulls gave away indulgences and confirmed altars and churches, solely because of the letters and seals. So we ought to value Baptism much more highly and more precious, because God has commanded it. (Martin Luther, The Large Catechism, para. 7-9).
Below you will find the series of sermons and services about Holy Baptism and the wonderful gifts it brings.