"And we also thank God continually because, when you received the word of God, which you heard from us, you accepted it not as the word of men, but as it actually is, the word of God, which is at work in you who believe." NIV translation
Paul is thankful here because the Thessalonians accepted the fact that the gospel was not about Paul or his companions. They recognized the fact that Paul was just a messenger and a messenger does not create the message; he only delivers it. Many, even today, want to create a new message to either get followers or to keep the ones they have interested. Paul never created a sermon or a sermon series; he simply preached the Word of God.
"For you, brothers, became imitators of God's churches in Judea, which are in Christ Jesus: You suffered from your own countrymen the same things those churches suffered from the Jews," NIV translation
Paul speaks now of the persecution that comes from following Jesus Christ. The religious establishment did not accept Jesus and in fact crucified Him. The believers in Judea were then scattered through continued persecution and now it has happened in Thessalonica. Jesus told us that, as servants, we are no better than our Master and so to expect the same things that happened to Him.
That goes for us today as well but we can gather strength from each other and through our Lord. You can share your story of persecution with us and we will share it with the world to build each other up in the faith.
"who killed the Lord Jesus and the prophets and also drove us out. They displease God and are hostile to all men in their effort to keep us from speaking to the Gentiles so that they may be saved. In this way they always heap up their sins to the limit. The wrath of God has come upon them at last." NIV translation
Paul goes on to explain that the people had not only rejected and crucified Jesus but now would not let others hear and accept the gospel. This is the ultimate of sins and is happening in many countries today but, as Paul said, "the wrath of God" will come upon them just as it did in his day.