For several years about a decade ago, I prayed that God would lead me out of the UMC, to ANYWHERE else with sound biblical theology. God must have a sense of humor, because I ended up as the President of the United Methodist Women's group (one of only a few positions in which the person must be a member of the church).
To make a long story short, I remain a United Methodist because I KNOW that is where the Lord wants me. It is hard at times, but there are many of us who stay because we believe the Lord wants us here. If/when He directs me elsewhere, I will go. Until then, I am doing what I can from within.