The primary job of a prophet was to arouse the people and the government to repentance and observance. The traditional view is that prophecy was removed from the world after the destruction of the First Temple. Those prophets who are mentioned after that were alive at the time of the destruction. Several explanations are offered for why prophets no longer exist:
1. The fact that the Jews did not heed the calls to repentance of the prophets showed that they were not worthy. When most of the Jews remained in exile after Ezra returned, they showed that they were still not worthy of that level of holiness. The second temple did not have the level of kedushah [holiness] of the first Temple even from the beginning.
2. This was actually a sign of Gd's mercy. Had the Jews had a prophet and continued to disobey (as was probable based on the behavior of the following centuries) even after the punishment of the exile, they would have merited complete destruction. Now they could say that had a prophet come they would have obeyed and thus mitigate the punishment (though some consider the current exile (i.e., the diaspora) to be harsh enough).
3. After the destruction of the first Temple the sages prayed for the removal of the "Evil Inclination" of idolatry. Since the world exists in a balance, the removal of the low point (idolatry) necessitated the removal of the high point (prophecy).
Another effect of losing prophecy is that it is no longer known the specific acts that result in specific good and bad consequences. In the age of prophecy, a person undergoing misfortunes could learn from a prophet what he or she was doing wrong and how to do teshuvah (repentance). Today, some feel that a tzaddik or a rebbe can provide spiritual guidance and advise paths for repentance.