I've had the question asked of me, by Protestant friends. Why? Why pray to the saints? Why not go directly to God?
Well, of course we still go directly to God. The Saints have no powers of their own. They're not magical people, or demigods. They do not stand between God and ourselves, but rather *beside* us. The simplest explanation is the best. Do you ask friends, fellow church members to pray for you? Yes, I'm certain that you do. This is the same thing. Because the saints are not dead in the ground, but alive in heaven, we can still speak to them. Ask them to add their prayers to our own, to the prayers of the earthly members of the church as well. We are all one church, whether here or in the hereafter.
I suppose one could ask why do we ask anyone to pray for us? Isn't God enough on His own? Of course he is. But God wants us to pray. And we know that Christianity is not something meant to be practiced in a vacuum. We are a community. Isn't the saying, where two or three are gathered in my name, there I am? (Or something like that. I am not an encyclopedia of Biblical references and it's 8 min to midnight, so I'm not looking it up. You get my point!) The Church is a community, and only together can we fully experience the life that Christ wanted for us.
We don't fully know why, but we know that God wants us to interact with Him. He doesn't want us to just sit back and go, 'oh, well, God's will will be done anyway, so why bother?'. It's not enough to believe, it's not enough to trust in God. We must admit that we need Him. Free will. We must ask. God will do what He deems best, but He wants us to turn to Him with our problems. He wants us to pray for change within ourselves, to become more in line with His will. And part of that, part of being co-workers with Him, is asking others to work with us as well, both those who we know here on earth, and those who have gone before.