“You will put the U′rim and the Thum′mim into the breastpiece of judgment, and they must be over Aaron’s heart when he comes in before Jehovah, and Aaron must carry the means for making judgments of the Israelites over his heart before Jehovah constantly.”
~Exodus 28:30

What were the Urim and the Thummim?
This is a question I have struggled with on a personal level throughout half my life, so I decided to once again review the articles explaining it.
According to the glossary in the Revised New World Translation of the Holy Scriptures, they were “objects used by the high priest in a manner similar to the use of lots to determine the divine will when questions of national importance needed an answer from Jehovah. The Urim and Thummim were put inside the high priest’s breastpiece when he entered the tabernacle.”
The reason I struggle with their use in Biblical times is that the Bible clearly condemns the practice of divination, that is, the practice of gaining secret knowledge of events through supernatural occult powers (Deut. 18:10).
What was the difference, then, between the Urim and Thummim and the practice of divination?
While divination was a practice originating in ancient Babylon and which relied upon the guidance of spirits other than God, the Urim and Thummim were only used by the High Priest when he entered the Most Holy (Insight on the Scriptures, vol. i).
The Most Holy was the section of the Tabernacle the High Priest had to enter in order to ask Jehovah about matters of national relevance.
Before the Bible was completed, Jehovah had several means of communicating his will to humans.
These means included angelic messengers and prophecies revealed through dreams or visions to specific prophets.
Another form of interpreting God’s will was by basing decisions on principles stated by God in the past, which is the way we make decisions today.
Yet another form of interpreting God’s will back then was by casting lots, as was the case when the Promised Land was divided among the 12 tribes of Israel. (Nu. 26:55,56)
The Urim and the Thummim appear to have been sacred lots used under prayer that provided a “Yes”, “No,” or “No Answer,” reply to questions. (1 Sam. 28:6)
They were not used as a means of gambling or for trivial matters.
Since the High Priest was in charge of these sacred objects, the Kings who later came about in Israel and Judah would need to rely on consulting the High Priest before making important decisions.
This kept the king from having too much power (Insight on the Scriptures, vol. ii).
Nowadays, God’s People use the Bible to guide their steps, studying it under the prayerful direction of his Holy Spirit in order to better understand its message.
For “all Scripture is […] beneficial for teaching, for reproving, for setting things straight, for disciplining in righteousness, so that the man of God may be fully competent, completely equipped for every good work.” (2 Tim. 3:16,17)