Against all commandments and testimony, Israel insisted for themselves a king, even if it would cost them their sons and daughters, fields and vineyards, livestock, servants, and dignity. In fact, they would take just about anyone to be king over them, just as long as it wasn't God.
But the thing displeased Samuel, when they said, Give us a king to judge us. And Samuel prayed unto the LORD. And the LORD said unto Samuel, Hearken unto the voice of the people in all that they say unto thee: for they have not rejected thee, but they have rejected me, that I should not reign over them.
It's plain to see where this decision against God's will for Israel will ultimately end up. However, I do want to point out that there is also some consolation in these verses for the despairing servant of God:
There is a little bit of a due process involved, however, leaving Samuel with some course of action:
Now therefore hearken unto their voice: howbeit yet protest solemnly unto them, and shew them the manner of the king that shall reign over them.
See also: The Unanswered Cry (1 Samuel 8:10-18), The Watchman (Ezekiel 33:1-9), Nineveh's Repentance (Jonah 3)
This, of course, is met with the same response:
Nevertheless, the people refused to obey the voice of Samuel; and they said, Nay; but we will have a king over us; That we also may be like all the nations; and that our king made judge us, and go out before us, and fight our battles.
Thus, Samuel returns their response to the LORD and the LORD finally gives them what they want. Due process is now complete and Israel is now liable.
Now therefore stand and see this great thing, which the Lord will do before your eyes. Is it not wheat harvest to day? I will call unto the Lord, and he shall send thunder and rain; that ye may perceive and see that your wickedness is great, which ye have done in the sight of the Lord, in asking you a king. So Samuel called unto the Lord; and the Lord sent thunder and rain that day: and all the people greatly feared the Lord and Samuel. And all the people said unto Samuel, Pray for thy servants unto the Lord thy God, that we die not: for we have added unto all our sins this evil, to ask us a king.
See also: Why is Rain Such a Problem at Harvest?
By now, a lot of frustrated Christians will have written-off the "twice-admonished heretic" (cf. Titus 3:9-11). Notice, however, that God also still leaves the lines of communication open, even after the fact:
And Samuel said unto the people, Fear not: ye have done all this wickedness: yet turn not aside from following the Lord, but serve the Lord with all your heart; And turn ye not aside: for then should ye go after vain things, which cannot profit nor deliver; for they are vain. For the Lord will not forsake his people for his great name's sake: because it hath pleased the Lord to make you his people. Moreover as for me, God forbid that I should sin against the Lord in ceasing to pray for you: but I will teach you the good and the right way: Only fear the Lord, and serve him in truth with all your heart: for consider how great things he hath done for you. But if ye shall still do wickedly, ye shall be consumed, both ye and your king.
So that's basically it right there; how this account teaches us how to deal with rejection:
The rest (that is, results and all) must be trusted into God's hands, not manipulated by ours.
If it be possible, as much as lieth in you, live peaceably with all men. Dearly beloved, avenge not yourselves, but rather give place unto wrath: for it is written, Vengeance is mine; I will repay, saith the Lord. Therefore if thine enemy hunger, feed him; if he thirst, give him drink: for in so doing thou shalt heap coals of fire on his head. Be not overcome of evil, but overcome evil with good.
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