This is a touchy topic for some because of strong beliefs about God's nature. Many believe that the NT Bible is a law book, designed to give us exacting instructions and formula on what to do and not to do. The purpose of my post, like my Faith posts is not to preach or convert, but merely to explain my own views on this topic. I enjoyed this quote from the New Advent Catholic encyclopedia:
The doctrine of the Catholic Church concerning the Holy Ghost forms an integral part of her teaching on the mystery of the Holy Trinity, of which St. Augustine (De Trin., I, iii, 5), speaking with diffidence, says: "In no other subject is the danger of erring so great, or the progress so difficult, or the fruit of a careful study so appreciable".
Prayer to the Holy Spirit is not a new practice, nor is it practiced by just a few. The Eastern Orthodox Communion pray to the Holy Spirit at Mass and in private. They constitute between 300 million and 400 million. Roman Catholics also pray to the Holy Spirit, which adds in another 1,2 Billion Christians. There are about 500 million Protestants who believe the Holy Ghost is a person of the Trinity, but who may or may not pray to him, depending on their focus. Altogether, about 2 Billion Christians believe the Holy Spirit is a person, and the vast majority have and continue to pray to the Holy Spirit in some form or another. Then, we have discussion by early and well accepted Christian writers dating back to the 1st century, such as Clement of Rome, who identify the Holy Spirit as a person. Then, in the 19th, 20th, and now 21st centuries there are Bible Students, JWs and some ex-JWs and a few others who may object strongly to this topic. On prayer to the Holy Ghost (Holy Spirit), the New Advent says:
Although God the Father is mentioned in this prayer [Lor'd Prayer] as the one to whom we are to pray, it is not out of place to address our prayers to the other Divine persons. The special appeal to one does not exclude the others.
What does the Holy Spirit do? The Bible teaches that he guides, teaches, and conforts the Church and each member. He gives special gifts, such as speaking in tongues, the power of healing, prophecy, etc. He gives fruit, such as love, joy, peace, long-suffering, kindness, mercy, self-control. He dwells with us. He directs the Church. Acts 13:2 shows how He (not Jehovah as the NWT twisted translation says) was being ministered to by the disciples when He spoke his own will in first person and directed the calling of two disciples to do His will. He is the Paraclete, or advocate, our lawyer in a sense. For example, when we do not know what to pray for, the Bible says the Holy Spirit searches us out, and then pleads before the Father on our behalf (Romans 8:26). Most of all, He has had charge of the Church since Jesus returned to heaven. And the Holy Spirit will hold this charge until Jesus returns someday. The Holy Spirit is at center stage of operations during this time of the Church.
Sin against the Holy Spirit: I have noticed that Jehovah's Witnesses are the most confused and concerned about this sin than any group I have ever known. Blasphemy against the Holy Spirit is sinning against him. The New Advent made this interesting comment:
The sin or blasphemy against the Holy Ghost is mentioned in Matthew 12:22-32; Mark 3:22-30; Luke 12:10 (cf. 11:14-23); and Christ everywhere declares that it shall not be pardoned. In what does it consist? If we examine all the passages alluded to, there can be little doubt as to the reply. ... So, to sin against the Holy Ghost is to confound Him with the spirit of evil, it is to deny, from pure malice, the Divine character of works manifestly Divine. This is the sense in which St. Mark also defines the sin question; for, after reciting the words of the Master: "But he that shall blaspheme against the Holy Ghost shall never have forgiveness", he adds at once: "Because they said: He hath an unclean spirit." With this sin of pure downright malice, Jesus contrasts the sin "against the Son of man", that is the sin committed against Himself as man, the wrong done to His humanity in judging Him by His humble and lowly appearance. This fault, unlike the former, might he excused as the result of man's ignorance and misunderstanding. [Source: http://www.newadvent.org/cathen/07409a.htm]
The worst sin of all is the sin aganist the Holy Spirit: Just think about this. We can sin against the Father and the Son, and against each other ... but if we sin against the Holy Spirit in an act of blasphemy, then we are never forgiven. It is silly to think that such a serious, eternal sin is against some inanimate power, or some "principle" of operation. The most serious sin of all must be against a person.
Why I started praying to the Holy Spirit: I reasoned that if the Holy Spirit dwells in us (me included), and He is the operator of the Church, He teaches, guides, comforts, gives spiritual fruit, and special gifts of the Spirit, and most of all he is our advocate (paraclete) or lawyer, then why can I not speak to him? The Holy Spirit is at center stage in our Christian life. So, it makes no sense that we cannot speak to Him. Granted our faith is in God, which represents the Father, the Son and the Holy Spirit. We are Christians. Our faith and model is Christ. However, the Holy Spirit is the one who leads us to Christ, the one who helps us follow Christ, the one who is involved with our most intimate prayers.
26] Likewise the Spirit also helpeth our infirmities: for we know not what we should pray for as we ought: but the Spirit itself maketh intercession for us with groanings which cannot be uttered.  And he that searcheth the hearts knoweth what is the mind of the Spirit, because he maketh intercession for the saints according to the will of God. - Romans 8:26:27
How can the Holy Spirit make intercession for us if He is not a person? How can he know us if we fail to speak to him? For such close intimacy, we must have an interaction with the Holy Spirit that reflects communication, love, understanding, and a sharing even of our most secret feelings that cannot be uttered (spoken outloud.)
December 2005 I started praying to the Holy Spirit - and what happened: I can say that from that time forward, my doubts and trend toward agnosticism faded, and I began to move back toward Christ and God. I was not seeking anything in particular. I was turning to the Holy Spirit as a last resort. The first and powerful change was that He gave me peace - unexpected peace with myself, with God the Father, with Him, with Christ, with the Christian faith. The kind of peace that we feel sometimes when we have a brief moment of freedom from stress ... like when we were children, just sitting in the yard, enjoying a bright sunny day, and not having a care in the world. Eacept, the peace lasts!
The Holy Spirit did other things: In my experience in leaving the JWs, I traveled to visit with Ray Franz in June of 1992. During my flight, I began to see veryone around me as good people, for they were no longer "worldlings" to be avoided. Similarly, in January 2006 onward, I began to see the universality of the Church, and that God is much more merciful and kind than we can possibly imagine. I was not searching for a Church, but during my studies of the Holy Spirit, I found great richness and understanding in the Eastern Orthodox. I affiliated with them for a time. Then, due to a series of unexpected events, associating with Tom Cabeen, I started revisiting my Catholic Church with my sister and others. I decided to return home. This is not to say that the Holy Spirit does not recognize Christians of all denominations ... He knows the hearts and minds of every person ... but rather, He knew where I best functioned in the faith, and that I needed to go home. And He was right. There are many other things I want tosay about prayer to the Holy Spirit and the benefits of making Him your friend. I will not, but rather, I hope that if you have never done so, that maybe you seek Him out ... maybe as a last resort.