There is a special relationship between brothers and sisters in Christ that is again identified in this one word — brethren. As children of God, we share "a like precious faith" (II Pet. 1: 1). As brethren, we have an esprit de corps (a feeling of pride, fellowship, and common loyalty shared by the members of a particular group) unlike any other body. All Christians should earnestly covet the prayers of faithful saints. We can be strengthened simply by the knowledge that others are praying for us. More than this, we can know that "the effectual fervent prayer of a righteous man availeth much" (James 5:16 KJV). God will hear the prayer of the righteous in our behalf.
In this passage an inspired apostle is asking for prayers! If he felt he needed the prayers of fellow Christians, how much more should we feel the need. In humility, the great Apostle Paul sincerely desired the prayers of the least of his brethren. As their brother, he was entitled. While he doesn't say, "please pray for us continually", he may as well have said it, considering he had just told them to "pray without ceasing" (v. 19). Note that he doesn't say, "pray for me", but in genuine love for his coworkers, he calls for prayers in their behalf as well.
We could do no better thing for our brother in Christ than to pray for him. One writer said, "I feel that when I have given to a brother my faithful prayers, I have given him my best and greatest gift". It is certainly our privilege to request the prayers of brethren. On one occasion, friends of a man who had been elected to high office came to offer their congratulations. He is supposed to have said "Don't give me your congratulations, but rather give me your prayers". If a man of great achievement thought he needed prayer, surely we all should. Paul requested prayers of the brethren often (e.g. Rom. 15:30; Eph. 6:18-19; Col. 4:2-3). Certainly it would be good if we did the same.
Commentator Albert Barnes ably sums up the justification (if any is needed) for Paul's request. He says of Paul, "He was a man of like passions as others; liable to the same temptations; engaged in arduous work; often called to meet with opposition; exposed to peril and want, and he peculiarly needed the prayers of the people of God" (Notes on the New Testament, Thessalonians, Timothy, Titus and Philemon, p. 64). We should join with Paul and say, "brethren, pray for us".