We can always pray to each of the three persons of the Trinity, who together form a unity. However, they also have their own, individual personality. We often address our prayers to God the Father: thus we join in the continuous prayer of Jesus to his Father.
We can also pray to Jesus or the Holy Spirit, for example to ask for wisdom and inspiration. Whilst we pray on earth, the saints and angels are praying continuously in heaven. Therefore, you can ask them to pray to God on our behalf, as they are near to him in heaven.
