Who do I pray to? The Father? The Son? The Spirit? God? The Trinity? All of the above?
Here is the theologically correct answer: pray to the Father, in the name of the Son, through the power of the Holy Spirit. Most New Testament prayers follow that pattern. There are a few recorded prayers to Jesus in the New Testament and, as far as I know, no recorded prayers to the Holy Spirit. But the Son is a divine person, and the Spirit is a divine person, and you can pray to them. But don’t forget … about the way the Spirit and the Son occupy the offices of intercessor and mediator to bring us before the Father. There is a current that runs that direction, and when you know that, you can immerse yourself in that current. It is the logic of how prayer is actually working anyway. Think about it: if you are in the habit of praying to Jesus, are you approaching Jesus the eternal Son of God on the basis of your own merits and deserving? No. Then on what basis? On the basis of his propitiation and mediation. Even prayer to Jesus has to be prayer in Jesus name. So you can see how that current of mediation runs in that direction, and you can be aligned to it by praying habitually to the Father in Jesus’ name.
Fred Sanders in The Deep Things of God: How the Trinity Changes Everything.