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Praying for the dead was common practice in the early church.
The below are a collection of "takes" on praying for the dead throughout Christian history (taken from Historical Christian Faith Commentaries). Note that all from the below collection support prayer for the dead with the except of Arius (who is generally considered to be a heretic for other reasons). It's also interesting to note that even after the Reformation some noteworthy Protestants still accepted the practice, even after it became more commonplace among Protestants to reject it.
[AD 167] Abercius, Bishop of Hieropolis The citizen of a prominent city, I erected this while I lived, that I might have a resting place for my body. Abercius is my name, a disciple of the chaste shepherd who feeds his sheep on the mountains and in the fields, who has great eyes surveying everywhere, who taught me the faithful writings of life. Standing by, I, Abercius, ordered this to be inscribed; truly I was in my seventy-second year. May everyone who is in accord with this and who understands it pray for Abercius. - Epitaph of Abercius
[AD 200] Liturgy of Addai and Mari O Christ... Spare the offenses and sins of the dead, through Your grace and mercies forever. - Liturgy of Sts. Adaeus and Maris, Section XIV
[AD 203] The Passion of Saints Perpetua and Felicity [T]hat very night, this was shown to me in a vision: I saw Dinocrates going out from a gloomy place, where also there were several others, and he was parched and very thirsty, with a filthy countenance and pallid color, and the wound on his face which he had when he died. This Dinocrates had been my brother after the flesh, seven years of age, who died miserably with disease... For him I had made my prayer, and between him and me there was a large interval, so that neither of us could approach to the other... and [I] knew that my brother was in suffering. But I trusted that my prayer would bring help to his suffering; and I prayed for him every day until we passed over into the prison of the camp, for we were to fight in the camp-show. Then... I made my prayer for my brother day and night, groaning and weeping that he might be granted to me. Then, on the day on which we remained in fetters, this was shown to me. I saw that that place which I had formerly observed to be in gloom was now bright; and Dinocrates, with a clean body well clad, was finding refreshment... He went away from the water to play joyously, after the manner of children, and I awoke. Then I understood that he was translated from the place of punishment. - Chapter 2, Paragraphs 3-4
[AD 220] Tertullian As often as the anniversary comes round, we make offerings for the dead as birthday honours. - The Chaplet (or De Corona), Chapter 3
[AD 220] Tertullian Indeed, she prays for his [her dead husband's] soul, and requests refreshment for him meanwhile, and fellowship (with him) in the first resurrection; and she offers (her sacrifice) on the anniversaries of his falling asleep. - On Monogamy, Chapter 10
[AD 300] Liturgy of Saint Mark O Lord our God, give peace to the souls of our fathers and brethren who have fallen asleep in Jesus, remembering our forefathers of old, our fathers, patriarchs, prophets, apostles, martyrs, confessors, bishops, and the souls of all the holy and just men who have died in the Lord. Especially remember those whose memory we this day celebrate, and our holy father Mark, the apostle and evangelist, who has shown us the way of salvation. - Divine Liturgy of St. Mark, Section XIV
[AD 336] Arius Why do you mention the names of the dead [in prayer] after their deaths? If the living prays or has given alms, how will this benefit the dead? If the prayer of the people here has benefited the people there, no one should practice piety or perform good works! He should get some friends any way he wants, either by bribery or by asking friends on his deathbed, and they should pray that he may not suffer in the next life, or be held to account for his heinous sins. - Panarion 75.3.5
[AD 386] Cyril of Jerusalem Then we commemorate also those who have fallen asleep before us, first Patriarchs, Prophets, Apostles, Martyrs, that at their prayers and intercessions God would receive our petition. Then on behalf also of the Holy Fathers and Bishops who have fallen asleep before us, and in a word of all who in past years have fallen asleep among us, believing that it will be a very great benefit to the souls , for whom the supplication is put up, while that holy and most awful sacrifice is set forth. And I wish to persuade you by an illustration. For I know that many say, what is a soul profited, which departs from this world either with sins, or without sins, if it be commemorated in the prayer? For if a king were to banish certain who had given him offense, and then those who belong to them should weave a crown and offer it to him on behalf of those under punishment, would he not grant a remission of their penalties? In the same way we, when we offer to Him our supplications for those who have fallen asleep, though they be sinners, weave no crown, but offer up Christ sacrificed for our sins , propitiating our merciful God for them as well as for ourselves. - Catechetical Lecture 23, Paragraphs 9-10
[AD 397] Ambrose of Milan [A Memorial for the deceased Valentinian II] Blessed are you both, if my prayers will avail aught! No day will you over in silence, no prayer of mine will pass you by unhonored, no night will hurry on its course without you receiving some participation in my prayers. I will repeatedly remember you in all by oblations. - On the Death of Valentinian
[AD 403] Epiphanius of Salamis Furthermore, as to mentioning the names of the dead, how is there anything very useful in that? What is more timely or more excellent than that those who are still here should believe that the departed do live, and that they have not retreated into nothingness, but that they exist and are alive with the Master? And so that this most august proclamation might be told in full, how do they have hope, who are praying for the brethren as if they were but sojourning in a foreign land? Useful too is the prayer fashioned on their behalf, even if it does not force back the whole of guilty charges laid to them. And it is useful also, because in this world we often stumble either voluntarily or involuntarily, and thus it is a reminder to do better. For we make commemoration of the just and of sinners: of sinners, begging God’s mercy for them; of the just and the Fathers and Patriarchs and Prophets and Apostles and Evangelists and martyrs and confessors, and of bishops and solitaries, and of the whole list of them, so that we may set the Lord Jesus Christ apart from the ranks of men because of the honor due Him, and give reverence to Him, while keeping in mind that the Lord is not to be equated with any man, even if that man live in a justice that is boundless and limitless. - Panarion 75.8
[AD 407] John Chrysostom Let us then give them aid and perform commemoration for them. For if the children of Job were purged by the sacrifice of their father, why do you doubt that when we too offer for the departed, some consolation arises to them? Since God is wont to grant the petitions of those who ask for others. And this Paul signified saying, "that in a manifold Person your gift towards us bestowed by many may be acknowledged with thanksgiving on your behalf." [2 Corinthians 1:11] Let us not then be weary in giving aid to the departed, both by offering on their behalf and obtaining prayers for them: for the common Expiation of the world is even before us. - Homily 41 on First Corinthians, Section 8 Paragraph 3
[AD 407] John Chrysostom Mourn for those who have died in wealth... Let us weep for these; let us assist them according to our power; let us think of some assistance for them, small though it be, yet still let us assist them. How and in what way? By praying and entreating others to make prayers for them, by continually giving to the poor on their behalf. - Homily 3 on Philippians, Section Philippians 1:24, Paragraph 3
[AD 430] Augustine of Hippo During the time, moreover, which intervenes between a man's death and the final resurrection, the soul dwells in a hidden retreat, where it enjoys rest or suffers affliction just in proportion to the merit it has earned by the life which it led on earth. Nor can it be denied that the souls of the dead are benefited by the piety of their living friends, who offer the sacrifice of the Mediator, or give alms in the church on their behalf. But these services are of advantage only to those who during their lives have earned such merit, that services of this kind can help them. For there is a manner of life which is neither so good as not to require these services after death, nor so bad that such services are of no avail after death; there is, on the other hand, a kind of life so good as not to require them; and again, one so bad that when life is over they render no help. Therefore, it is in this life that all the merit or demerit is acquired, which can either relieve or aggravate a man's sufferings after this life. No one, then, need hope that after he is dead he shall obtain merit with God which he has neglected to secure here. And accordingly it is plain that the services which the church celebrates for the dead are in no way opposed to the apostle's words: "For we must all appear before the judgment-seat of Christ; that every one may receive the things done in his body, according to that he has done, whether it be good or bad;" for the merit which renders such services as I speak of profitable to a man, is earned while he lives in the body. It is not to every one that these services are profitable. And why are they not profitable to all, except because of the different kinds of lives that men lead in the body? When, then, sacrifices either of the altar or of alms are offered on behalf of all the baptized dead, they are thank-offerings for the very good, they are propitiatory offerings for the not very bad, and in the case of the very bad, even though they do not assist the dead, they are a species of consolation to the living. And where they are profitable, their benefit consists either in obtaining a full remission of sins, or at least in making the condemnation more tolerable. - The Handbook on Faith, Hope and Love, Chapter 109-110
[AD 430] Augustine of Hippo It is not to be doubted that the dead are aided by prayers of the holy church, and by the salutary sacrifice, and by the alms, which are offered for their spirits; that the Lord may deal with them more mercifully than their sins have merited. For this, which has been handed down by the Fathers, the universal church observes... - Sermon CLXXII (172) De verbis Apostoli, on 1 Thess 4:13
[AD 430] Augustine of Hippo There is, however, some perfection in this life to which the holy martyrs have arrived. There is an ecclesiastical discipline, as the faithful know, when the names of the martyrs are read aloud in that place at the altar of God, where prayer is not offered for them. Prayer, however, is offered for other dead who are remembered. It is wrong to pray for a martyr, to whose prayers we ought ourselves be commended... - Sermon CLIX (159) De verbis eisdem Apostoli, on James 1:2
[AD 604] Gregory the Dialogist If the sins after death be pardonable, then the sacred oblation of the holy host useth to help men's souls: for which cause the souls sometime, of them that be dead, do desire the same: for Bishop Felix, whom we spake of before, saith that a virtuous Priest, who died some two years since, and dwelt in the diocese of the city of Centumcellis, and was pastor of the church of St. John in the place called Tauriana, told him that himself did use (when he had need) to wash his body in a certain place, in which there were passing hot waters: and that going thither upon a time, he found a certain man whom he knew not, ready to do him service, as to pull off his shoes, take his clothes, and to attend upon him in all dutiful manner. And when he had divers times done thus, the Priest, minding upon a day to go to the baths, began to think with himself that he would not be ungrateful to him that did him such service, but carry him somewhat for a reward, and so he took with him two singing breads: and coming thither he found the man there ready, and used his help as he was wont to do: and when he had washed himself, put on his clothes, and was ready to depart, he offered him for an holy reward that which he had brought, desiring him to take that courteously, which for charity he did give him. Then with a sad countenance, and in sorrowful manner, he spake thus unto him: "Why do you give me these, father? This is holy bread, and I cannot eat of it, for I, whom you see here, was sometime lord of these baths, and am now after my death appointed for my sins to this place: but if you desire to pleasure me, offer this bread unto almighty God, and be an intercessor for my sins: and by this shall you know that your prayers be heard, if at your next coming you find me not here." And as he was speaking these words, he vanished out of his sight: so that he, which before seemed to be a man, shewed by that manner of departure that he was a spirit. The good Priest all the week following gave himself to tears for him, and daily offered up the holy sacrifice: and afterward returning to the bath, found him not there: whereby it appeareth what great profit the souls receive by the sacrifice of the holy oblation, seeing the spirits of them that be dead desire it of the living, and give certain tokens to let us understand how that by means thereof they have received absolution. - Dialogues, Book 4, Chapter 55
[AD 1274] Thomas Aquinas Moreover, the dead live in the memory of the living: wherefore the intention of the living can be directed to them. Hence the suffrages of the living profit the dead in two ways even as they profit the living, both on account of the bond of charity and on account of the intention being directed to them. Nevertheless, we must not believe that the suffrages of the living profit them so as to change their state from unhappiness to happiness or "vice versa"; but they avail for the diminution of punishment or something of the kind that involves no change in the state of the dead. - Question 71. The suffrages for the dead, Article 2
[AD 1546] Martin Luther Now since it is uncertain and no one knows, whether final judgment has been passed upon these souls, it is not sin if you pray for them; but in this way, that you let it rest in uncertainty and speak thus: Dear God, if the departed souls be in a state that they may yet be helped, then I pray that thou wouldst be gracious. - Martin Luther’s Original Church Postil 1544, First Sunday after Trinity (The Rich Man & Lazarus), Paragraph 29
[AD 1546] Martin Luther ...we know that the ancients speak of prayer for the dead, which we do not prohibit; but we disapprove of the application ex opere operato of the Lord's Supper on behalf of the dead. - The Defense of the Augsburg Confession, Book of Concord, Article XXIV (XII): Of the Mass, Section 94
[AD 1791] John Wesley I believe it to be a duty to observe, to pray for the Faithful Departed. - Chapters on the Early Registers of Halifax Parish Church. Whitley & Booth. p. 20
[AD 1963] CS Lewis Of course I pray for the dead. The action is so spontaneous, so all but inevitable, that only the most compulsive theological case against it would deter me. And I hardly know how the rest of my prayers would survive if those for the dead were forbidden. At our age the majority of those we love best are dead. What sort of intercourse with God could I have if what I love best were unmentionable to Him? On the traditional Protestant view, all the dead are damned or saved. If they are damned, prayer for them is useless. If they are saved, it is equally useless. God has already done all for them. What more should we ask? But don't we believe that God has already done and is already doing all that He can for the living? What more should we ask? Yet we are told to ask. "Yes," it will be answered, "but the living are still on the road. Further trials, developments, possibilities of error, await them. But the saved have been made perfect. They have finished the course. To pray for them presupposes that progress and difficulty are still possible. In fact, you are bringing in something like Purgatory." [...] I believe in Purgatory. - LETTERS TO MALCOLM: CHIEFLY ON PRAYER, Letter 20
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Pohle, Eschatology or the Catholic Doctrine of the Last Things: A Dogmatic Treatise, pt. 1, ch. 5, §1 "The Existence of Purgatory", 2. Proof from Revelation, b), cites Tertullian (b. 160 A.D.) as the first:
Tertullian mentions anniversary masses for the dead.18 That he had Purgatory in mind appears from his advice to a widow, “to pray for the soul of her husband, begging repose for him, and … to have sacrifice offered up for him every year on the day of his death.”19
18. De Corona Mil., 3: “Oblationes pro defunctis annuâ die facimus.” [“We sacrifice for the deceased on (their) anniversary”]
19. De Monogamia, 10: “Debet pro anima eius orare et refrigerium interim adpostulare ei et … offerre annuis diebus dormitionis suae.” [“she prays for his soul, and requests refreshment for him meanwhile … and she offers (her sacrifice) on the anniversaries of his falling asleep”]