One of the great mysteries of Christianity is the Trinity: we are taught that God the Father, God the Son (Jesus Christ) and God the Holy Spirit (the Paraclete) are separate and yet are one. It's one of the things we must take on faith. So, when you pray to God, you're really praying to all three. It really makes no difference which one you're praying to.
Good question. I haven't given it much thought. I guess i pray to Jesus as the Son of God, rather than going to 'Dad'. Funny cause as a dad myself, i always wonder y my kids (grand kids now) go to mom before me. We probably think we'll get a more sympathetic ear. Hard for the human mind to wrap itself around the Trinity. This is where faith is needed