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The Bible does say that he prayed to the Father, but how much of that is a fact? For instance, on the night of His betrayal, He is quoted as asking the Father if He could take away the bitter cup...but it also says that all the Apostles were asleep and that Jesus was by Himself. So, how do they know what He did? Who witnessed it?

God witnessed it and caused the authors of the Bible to write down what actually happened. But you are right that if the Bible was simply written by men doing the best they could, then many many things would have to be thrown out. Since I don't throw anything out in the Bible, I can't believe it happened that way. "God-breathed" actually means something important.

Being fully human, it only makes sense that He would pray to the triune God and not only to the Father.

Just as BD said, we pray as the Bible tells us to pray in form. Are we wrong for following the scriptures? Do you all pray to individual members of the Trinity separately? As in, "Jesus, this is just for you but not for the Spirit"? If so, why? When I pray "Dear Heavenly Father" I am really addressing the full Trinity, the one true God. How is this explained? They are all ONE.

"God-breathed" actually means something important.

Yes, "animated by God," brought to life by God.

Do you all pray to individual members of the Trinity separately?

Sometimes. For instance the very important hesychastic Jesus Prayer (not practiced in the West) says "Lord Jesus Christ, Son of God, have mercy on me, the sinner."

Another would be this liturgical prayer

Christ our God, You are the fulfillment of the Law and the prophets. You have fulfilled all the dispensation of the Father. Fill our hearts with joy and gladness always, now and forever and to the ages of ages. Amen.

or this one

Having beheld the resurrection of Christ, let us worship the holy Lord Jesus, the only Sinless One. We venerate Your cross, O Christ, and we praise and glorify Your holy resurrection. You are our God. We know no other than You, and we call upon Your name.

Usually it's a prayer to God and the Three Hypostases, such as

The grace of our Lord Jesus Christ, and the love of God the Father, and the communion of the Holy Spirit, be with all of you

Or, more commonly

It is proper and right to sing to You, bless You, praise You, thank You and worship You in all places of Your dominion; for You are God ineffable, beyond comprehension, invisible, beyond understanding, existing forever and always the same; You and Your only begotten Son and Your Holy Spirit [Holy Anaphora]

As in, "Jesus, this is just for you but not for the Spirit"?

No, it shouldn't really matter because a prayer to one is a prayer to the same God. But in some instances, in the context of the economy of our salvation, it is proper to address one Hypostasis in particular (such as the Holy Spirit who accomplishes the sacraments).