“Abdullah ibn Abbas (radi Allahu anhu) said that the Messenger of Allah (sal Allahu alaihi wa sallam) used to teach them this supplication in the same way that he used to teach them a Surah of the Quran. He would say: ‘O Allah, I seek refuge with You from the punishment of Jahannum and I seek refuge with You from the punishment of the grave. I seek refuge with You from the trial of the Masih ad-Dajjal and I seek refuge with You from the trials of life and death.’” [Sahih Muslim]
Firstly, this hadith tells us that the punishment of Jahannum is a reality, the punishment of the grave is a reality, the Fitnah of Dajjal (anti-Christ) is something very serious, and that there are trials in both life and death.
Secondly, this hadith also indicates the severity of various punishments and trials. The order in which the Messenger of Allah (sal Allahu alaihi wa sallam) sought refuge from them is indicative of their seriousness. The worst that could happen to a person is that they get thrown into Jahannum. The next worst thing that could happen to them is for them to be punished in their grave. Then comes the severity of the Fitnah of Dajjal, then other trials that afflict people at different times in their lives.
Even without revelation the Arabs knew that strange things happened in graves. If their horses got stomach ailments they would take them to graveyards. The horse would jump and twist so violently that its cramps would straighten away. The Prophet (sal Allahu alaihi wa sallam) told us that the punishment of the grave is heard by all creatures except men and Jinn, and that if we were cognizant of it we wouldn’t bury our dead.
The greatest trial of the living will be at the hands of Dajjal. Other than that there are numerous trials people go through as a result of which they are purified of their sins, as metal is purified from its ore through burning.
Trials also separate the wheat from the chaff. People will be rewarded according to the level of suffering they have patiently borne, and the trials they have dealt with keeping their Eeman intact.
We should try to keep the ingredients of this Dua in our prayers.