"on the day he comes to be glorified in his holy people and to be marveled at among all those who have believed. This includes you, because you believed our testimony to you." NIV translation
For us that believe, when Jesus returns we will be with Him and nothing that is unholy will be there. We will stand amazed in His glorious presence!
Paul continues to explain that he prays for the Thessalonians to walk in the Spirit and that God would use them. He knew that God had prepared things for them to do (see Ephesians 2:10) and prayed that God would complete the work that He had started.
"We pray this so that the name of our Lord Jesus may be glorified in you, and you in him, according to the grace of our God and the Lord Jesus Christ." NIV translation
Paul tells us the purpose of his prayer and that is the same purpose that we all should have for everything that we do. That purpose is to glorify God which is to let people see His presence in and through us. That can only happen through the grace of God.