All these things that I've done

"When there's nowhere else to run, is there room for one more son." - asking if God can take him under his wing, the other son mention being Jesus.
"You know, you know - no, you don't, you don't." - saying that God understands because he understands all, but in the same way doesn't understand because he has never experienced sin.
"And my affection, well it comes and goes." - his love for God comes and goes as he travels through life.
"I need direction to perfection." - obvious, since God is the only one without sin.
"Yeah, oh don't you put me on the back burner." - perhaps the line that proves this theory the most. The first meaning of putting someone on the back burner is to set it aside fo r later. It can also be interpreted to mean hell. He needs God's help to absolve him of sin.
Of course, there are several ways to interpret perhaps the most famous line in the song:
"I got soul, but I'm not a soldier."
He is basically saying that he believes in God, and that he has faith, but he is not willing to fight, since he is unsure of how to do so.

While I may not have explained it very well, take the general idea that he is speaking to God and run with it. The song will make more sense when you listen with that in mind.

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