The Bible reveals to us that God is Triune in nature. That is, He consists of three separate and distinct persons, (the Father, the Son, and the Spirit), who are unified in perfect harmony. Each of these three persons is one in purpose, and yet they each play a different role, especially when it comes to prayer.
First, the Father is to be the object of our prayers. We know this because Jesus instructed us to pray, "Our father in heaven..." (Matthew 6:9). He also set an example for us by praying to the Father (Matthew 26:39). So we are to pray to the Father.
Next, we need to recognize the Son's role. Apart from His sacrifice on the cross for our sins, we would be utterly unable to approach the Father in His perfect holiness and righteousness. No one can come to the Father apart from Jesus (John 14:6), so it's on the basis of (or in the name of) what He has done for us.
Lastly, it's important for us to understand the Spirit's role in prayer. God's Word tells us that it's the Holy Spirit who guides and directs us on how we ought to pray (Romans 8:26-27). It's His presence in us that enables us to pray in accordance with the will of God.
Prayer is a matter of passion, not policy. But it's good to remember that there's a proper protocol when it comes to prayer. There is one God, revealed in three persons, and each plays a different role. The Father is our object, the Son is our basis, and the Spirit is our guide. God is completely involved with us when we pray, and we should be completely involved with Him.