Can we pray from any position? I enjoy praying lying in bed just before I sleep ... until I fall asleep. In church I usually pray with my hands simply by my side or even with my hands in my pockets. I just let them stay wherever they are.

However I have seen that many people change positions before they pray, often clasping their hands together or opening them towards something.

Is there anything particularly wrong with praying lying in bed or with your hands in your pockets? Is there any particular reason one must change positions to begin praying?
No, you don't have to put you hands together.  People usually put their hands together either as a sign of reverence or to help focus and get into a correct spiritual posture fir prayer or both. 

You can pray in just about any manner you see fit, though.  I'll often pray while driving (with my eyes open).  I often see people praying with their hands raised.  You can even lay flat on the floor with your hands spread out.

I think its import that you take a position that makes you comfortable, shows reverence to the Lord, and postures your heart to communicate with God.