I find a sense of connection if I spend time in the wilderness. The last one I had was a few months back camping in the Hoanib valley in Namibia. Elephants surrounded my tent to eat the pods of the tree I had camped under. I feel asleep to the rumbling of their stomachs.
The most profound connection I had was in the Canadian Rockies. After a five day hike I was descending a narrow mountain pass when I came across a huge grizzly and her cub, blocking the only way down. It was snowing, it was getting dark and I had to return to the top of the pass and spend the night up there. It was incredibly cold. I was tired, lonely, hungry. I was afraid the bear would follow me. I sat on a rock looking at a mountain called "Assiniboine"which is shaped like the teepee of the Assiniboine nation. Snow was falling, the sun descended just below the roof of clouds, and when it disappeared and I felt something incredible: a distinct connection - with the Earth and everything on it, including that bear. From then on I felt completely at ease.
I seek out those types of connections.