The King was thinking, "Prahlāda Mahārāja is actually a devotee of the Lord, while I am nothing," and while thinking this he was addressed by Nārada as follows: "My dear King Yudhiṣṭhira, you (the Pāṇḍava brothers) are the only fortunate people in this world. The Supreme Personality of Godhead has appeared on this planet and is presenting Himself to you as an ordinary human being. He is always with you in all circumstances. He is living with you and covering Himself from the eyes of others. Others cannot understand that He is the Supreme Lord, but He is still living with you as your cousin, as your friend and even as your messenger. Therefore you must know that nobody in this world is more fortunate than you."
In Bhagavad-gītā when Kṛṣṇa appeared in His universal form Arjuna prayed, "My dear Kṛṣṇa, I thought of You as my cousin-brother, and so I have shown disrespect to You in so many ways, calling You 'Kṛṣṇa' or 'friend.' But You are so great that I could not understand." So that was the position of the Pāṇḍavas; although Kṛṣṇa is the Supreme Personality of Godhead, the greatest among all greats, He remained with those royal brothers, being attracted by their devotion, by their friendship and by their love. That is the proof of how great this process of devotional service is. It can attract even the Supreme Personality of Godhead. God is great, but devotional service is greater than God because it attracts Him. People who are not in devotional service can never understand what great value there is in rendering service to the Lord.