Allan Creech, a very catholic protestant, has a post here about praying to saints. He does a great job explaining our differences and letting us see points of commonality.
Here are his definitions of how protestants and catholics look at death and heaven. I think they are very informative. Among other things he is basically saying, if you would ask your grandmother to pray for you before she dies, why not after she dies?
Protestants = (generally speaking) When someone dies, there is immediate judgement and "sentencing," reward and punishment. Boom! If you have faith in Jesus, you "go to heaven" and in that same swift trip you are glorified, fully and completely transformed (if there is any thought of transformation at all this is when it happens) into the perfect Image of Christ and are ushered into the fullness of the Presence of GOD, without measure, forever. There is also then a separation from the rest of the Body. Maybe it's better to put it like this, a graduation from the Church to something else, the heavenly choir perhaps. There is no more interaction with any of the Church on earth. It's either not allowed or is somehow ontologically impossible, I'm not sure. There's not really any one set theologically worked out argument for why this is. Perhaps there may seem to be the one - that the contrary is not explicitly laid out in Scripture, or is interpreted as not being so.
Catholics = people are still members of the Church when they die, still able to participate, are still being worked on as a matter of fact (but that's another issue altogether isn't it). Catholics believe someone who is "in heaven" is able to hear us and are also able to continue to pray for us to God for help in whatever situation. They believe that a person who is "over there" has, logically, a bigger perspective and greater knowledge, and can intercede perhaps better than someone here. OK. They are NOT called on to believe that such persons have the ability to send powerful help down out of themselves. We're talking about intercession here. It's the continuation of how the Body of Christ works here on earth - I need help, I ask Liz to pray for me because I'm not the complete Christ in myself, she does, this prayer interacts with the great economy of God's Life moving back and forth between the great divide and things happen, somehow. If it doesn't, then let's just all shut up and ke se-frikin-ra, things will just happen and whatever. So, there's that.