What does 1 Thessalonians 5:17 mean?

In this verse Paul encourages the Thessalonian believers to pray continually. Naturally, this does not mean to be in a state of prayer during every waking moment. Rather, we ought to be in a constantly "prayerful" state, and frequently speaking to God in actual, dedicated prayer. Even in the midst of trials, believers should recognize the immeasurable value of maintaining fellowship with God through frequent prayer.

Jesus is the supreme example of what it means to pray continually. He taught His disciples to pray (Matthew 6:5–13). He prayed before feeding the five thousand (Matthew 14:19–21). He prayed when He blessed the children (Matthew 19:13). He prayed in the morning (Mark 1:35) and in the evening (Mark 6:45–47). He prayed for His disciples and for all subsequent believers (John 17). He prayed in the Garden of Gethsemane (Matthew 26:36–42). He prayed from the cross (Luke 23:34).

The apostle Paul, too, prayed continuously. He prayed from prison at midnight (Acts 16:25). He prayed after giving a charge to the elders of the church at Ephesus (Acts 20:36). He prayed at Malta (Acts 28:8). He prayed for Israel (Romans 10:1). He prayed for the churches (Romans 1:9; Ephesians 1:16; Philippians 1:4; Colossians 1:3–12).