I'm a Methodist now, so praying to Saints in a group setting is not done. I grew up Catholic, so I don't find asking saints to intercede on my or someone else's behalf unusual, for the reasons given on catholic.org. Here is one relevant bit:
Do Catholics pray to saints?
We pray with saints, not to them. Have you ever asked anyone to pray for you when you were having a hard time? Why did you choose to ask that person?
You may have chosen someone you could trust, or someone who understood your problem, or someone who was close to God. Those are all reasons we ask saints to pray for us in times of trouble.
Since saints led holy lives and are close to God in heaven, we feel that their prayers are particularly effective. Often we ask particular saints to pray for us if we feel they have a particular interest in our problem. For example, many people ask Saint Monica to pray for them if they have trouble with unanswered prayers, because Monica prayed for twenty years for her son to be converted. Finally her prayers were answered in a way she never dreamed of -- her son, Augustine, became a canonized saint and a Doctor of the Church.
As for Biblical references for this belief, take your pick from this article: Saints and Intercessory Prayer
Edited again: Here's Exodus 20:1-3 (NRSV) to provide some context to verse 3.
Then God spoke all these words:
I am the Lord your God, who brought you out of the land of Egypt, out of the house of slavery; you shall have no other gods before me.
God is telling Moses that the people should worship God and not anything else, like a golden calf. As the catholic.org reference says, people pray with saints, not to saints. So those people aren't setting another god before God.