Why do Catholics pray to Mary and the Saints? Should we not just pray directly to God? 

God alone is the source of all blessings and grace. The saints by their lives and example, show us all how to live good and holy lives. Studying their lives can give us a greater insight into how to become more Christ like.

If we ask our earthly friends to pray for us in times of need, then why can we not ask that our heavenly friends the saints pray with us, also? We pray at mass, and in the Apostles Creed, and in our own prayers with the communion of saints. This phrase means not only all baptized living persons, but the saints in heaven, and those who are in purgatory.

In the Apostles Creed we state our belief in “the communion of saints.”

At Mass we sometimes pray thus: "In union with the whole Church we honor Mary, the ever-virgin mother of Jesus Christ our Lord and God.

We honor Joseph, her husband, the apostles and martyrs Peter and Paul, Andrew, and all the saints. May their merits and prayers gain us your constant help and protection."1

1. http://catholic-resources.org/ChurchDocs/EP1-4.htm