There is some confusion among believers as to whom we are supposed to address our prayers. The Bible says we are to pray to God the Father, through God the Son, by means of God the Holy Spirit.
 
The Father  

Jesus taught that we are to pray to God the Father.

O This, then, is how you should pray: 'Our Father in heaven, hallowed be Your name (Matthew 6:9).

Therefore God the Father is the ultimate one to whom we are praying.

Christ The Mediator

Though we are to address our prayers to God the Father it is through the mediation of Jesus Christ that are prayers are heard.

For there is one God and one mediator between God and humanity, the man Christ Jesus (1 Timothy 2:5).

 
Holy Spirit

The Holy Spirit, the Third Person of the Trinity, is also to participate in our prayers. He is the One who prompts us to pray and teaches us what to pray for.

In the same way, the Spirit helps us in our weakness. We do not know what we ought to pray for, but the Spirit Himself intercedes for us with groans that words cannot express. And he who searches our hearts knows the mind of the Spirit, because the Spirit intercedes for the saints in accordance with God's will (Romans 8:26,27).

Summary

When we pray it is to God the Father, through God the Son, by means of God the Holy Spirit.