Defense of the Augsburg Confession XXIV recognizes and does not prohibit mentioning the dead. In my church, we have a local service to commemorate the departed that were deported during second world war. But I'm too ashamed to ask the pastor at this point what exactly do be believe about this topic.
Do Lutherans "pray" for the dead? If so, what does it mean for us?
(Note: This is not intended to be a Lutheran-specific answer. However, Lutherans are Protestant, and as far as I know, nothing here contradicts any Lutheran-specific teaching.)
TL;DR: They don't. (Mostly.)
Longer explanation:
Protestants generally don't pray for the dead, as that is not scriptural: see for example What does the Bible say about praying for the dead? Once someone dies, their eternal fate is set and can no longer be altered. Prayer for the dead is one of many Roman Catholic theologies that Protestants regard as heretical.
Now, what Protestant might do is pray with the dead, in the sense of recognizing that when we praise God, the dead in Christ also do so, and thus we are in a sense "joining in". This is perhaps most famously exemplified in Lessons and Carols, when we "remember before God all those who rejoice with us, but upon another shore, and in a greater light, that multitude which no man can number, whose hope was in the Word made flesh, and with whom we for evermore are one". More prosaically, during the Prayers or Eucharist, one might hear the words "with angels and archangels, and with all the company of heaven" or similar, again emphasizing unity in worship.
Another sense, especially on All Saints Day (and this is probably similar to what you are asking about, which I presume was on Veteran's Day or some similar occasion), is to rejoice that those who have gone before, whose faith was in Christ, are now with their Creator. Again, however, these are not prayers for the deceased, but prayers of thanksgiving for the faith of others and for God's Salvation.
Note that this is also the case in memorial services, a.k.a. funerals. All Saints Day (and similar occasions, if your congregation chooses to observe them thusly) are effectively recurring, "group" memorials. Note also that "memorial" and "commemorate" have the same root; "memoror", meaning to remember or call to mind. In no way are Protestants praying for the departed. (And we are most certainly not praying to the dead!) Rather, we are honoring the memory of our brothers and sisters and reminding ourselves of their virtues.
Hang on...
I said "mostly", above. Why? Well, Protestants do pray "for" the dead in a certain, very general sense that is best seen in the nearly ubiquitous "rest in peace", or more properly "dona eis requiem" ("grant them rest"). While this is, technically, a prayer for the dead, Protestants understand that this is very much in line with praying "Thy will be done". That is, we aren't praying with the expectation that it will change anything, but rather we are bringing to mind God's promises to us.
p.s. I can think of only one reason to be afraid to ask your pastor about anything; because you don't trust him. If that's the case, find another pastor / congregation! Otherwise, don't be afraid to ask questions!
I will give a Lutheran response. As pointed out, "The Apology to the Augsburg Confession" 24, para 96, clearly affirms that prayers for the dead should not be forbidden in its churches.
A Lutheran service in respect to prayers for the dead will often include the following.
O holy and righteous God, it has pleased You to call from this life Your servant _____ Let us learn from this death that we, too, must die and leave this world, in order that we may prepare for it in time by repentance, a living faith, and avoiding the sins and vanities of the world. Refresh the soul that has now departed with heavenly consolation and joy, and fulfill for it all the gracious promises which in Your holy Word You have made to those who believe in You. Grant to the body a soft and quiet rest in the earth till the Last Day, when You will reunite body and soul and lead them into glory, so that the entire person who served You here may be filled with heavenly joy there. Comfort all who are in grief over this death, and be and remain to the bereaved their Father, Provider, Guardian, Helper, and Support. Do not forsake them, and do not withdraw Your hand from them, but let them abundantly experience Your goodness, grace, love, and help, until You will grant them also a happy and blessed end. Hear us for Your mercy’s sake. Amen.
In sure and certain hope of the resurrection to eternal life through our Lord Jesus Christ, we commend to Almighty God our brother / sister N., and we commit his / her earthly remains to the ground (or the deep, or their resting place): (earth to earth,) ashes to ashes, dust to dust.
The Lord bless him / her and keep him / her, the Lord make his face to shine upon him / her and be gracious to him / her, the Lord lift up his countenance upon him / her and give him / her peace.
Prayers for the dead may include such thoughts expressed to the Lord such as, "tell them I love them!" or prayers along the line of asking the Lord to bless loved ones so that they experience certain things in heaven ahead of time before the general resurrection to come - e.g. greeting of pets (analogous to a rainbow bridge concept), tasting the wine (aged in barrels?) being prepared for the wedding feast of the lamb, etc.
Prayers for the dead might also include that they would be aware of certain earthly situations and would therefore pray with the company of heaven for special needs on the earth. This is a bit different than Roman Catholic or Eastern Orthodox prayers in that the focus is more on Jesus. In other words, the focus is on loved ones in heaven looking into the eyes of Jesus and seeing a reflection of what is happening on the earth.
At least some aspects of the context of what the Lutherans Confessions mean, by not forbidding prayers for the dead, can be found in notes from the year 1530. The following comments are taken from the minutes of an early meeting (August 16th & 17th) in which the representatives of Rome heard from the representatives who subscribe to the Augsburg Confession in the 16th century. The quote comes from the book, Confessing One Faith: A Joint Commentary on the Augsburg Confession by Lutheran and Catholic Theologians:
They agree in the first place that all the saints and angels in heaven intercede for us with God. Secondly, that it is both pious and right to remember the saints and observe festivals on which we pray God to let the intercession of the saints avail for us. But whether the saints are to be invoked by us was not agreed on. Indeed, they say that they do not prohibit it, but since Scripture does not teach the invocation of the saints they themselves do not wish to invoke them, not only because Scripture does not teach it, but also because it seems to them to be a dangerous abuse. (Emphasis added)
For further study on the many nuanced issues related to this question, see the 1985 article Mary and the Saints as an Issue in The Lutheran Confessions by the Lutheran theologian Robert W. Bertram.
Another helpful article from a Lutheran pastor is Prayers for the Dead: A Scriptural and Lutheran Worldview.
In answering your question, it's good to draw up some clear distinctions:
I mention the previous distinctions for this reason: The previous answer, citing Stark's Gebetbuch is almost worthless in determining official Lutheran doctrine and practice. Stark wrote popular books for leity. He was not writing on behalf of any Lutheran Church body.
The challenge in answering your question is that this is not a question that scripture directly addresses. So wise Christians dare not make commands and prohibitions where God's word hasn't (Deut. 4, etc). For that reason there is not much written by Lutherans on the subject. Luther, for example, in his Great Confession on the Lord's Supper writes:
As for the dead, since Scripture gives us no information on the subject, I regard it as no sin to pray with free devotion in this or some similar fashion: “Dear God, if this soul is in a condition accessible to mercy, be thou gracious to it.” And when this has been done once or twice, let it suffice. For vigils and requiem masses and yearly celebrations of requiems are useless, and are merely the devil’s annual fair.293
(Martin Luther, Word and Sacrament III, ed. Robert H. Fischer, vol. 37 of Luther’s Works. Accordance electronic ed. (Philadelphia: Fortress Press, 1961), 369.)
Notice Luther's approach: Since scripture is silent, we are free. But notice where he goes directly after this. When our freedom directs us down paths that are against scripture, we no longer are free. In the following words, he writes:
Nor have we anything in Scripture concerning purgatory. It too was certainly fabricated by goblins. Therefore, I maintain it is not necessary to believe in it; although all things are possible to God, and he could very well allow souls to be tormented after their departure from the body. But he has caused nothing of this to be spoken or written, therefore he does not wish to have it believed, either. I know of a purgatory, however, in another way, but it would not be proper to teach anything about it in the church, nor on the other hand, to deal with it by means of endowments or vigils.294
Others before me have attacked the invocation of saints, and this pleases me. I believe, too, that Christ alone should be invoked as our Mediator, a truth which is scriptural and certain. Of the invocation of saints nothing is said in Scripture; therefore it is necessarily uncertain and not to be believed.295
(Martin Luther, Word and Sacrament III, ed. Robert H. Fischer, vol. 37 of Luther’s Works. Accordance electronic ed. (Philadelphia: Fortress Press, 1961), 369-370.)
Notice, again his approach. In theory, it could be ok to pray for the dead. In practice and in context in Luther's day, this was almost an impossibility because of the unbiblical doctrine of purgatory. We have one mediator for our sins (Jesus). And it is unbiblical to conclude that we need or should pray to those who have gone before us in order to obtain forgiveness.
Luther's approach was then absorbed and included in the Apology:
First, purgatory. Here they “traded” in purgatory, with Masses for the dead and vigils after seven days, thirty days, and a year,33 and, finally, with the Common Week,34 All Souls’ Day,35 and Soul Baths,36 so that the Mass is only used on behalf of the dead, although Christ instituted the sacrament only for the living. Purgatory, therefore, with all its pomp, requiem Masses, and transactions, is to be regarded as an apparition of the devil. For it, too, is against the chief article that Christ alone (and not human works) is to help souls. Besides, concerning the dead we have received neither command nor instruction.37 For these reasons, it may be best to abandon it, even if it were neither error nor idolatry. At this point, the papists cite Augustine38 and some of the Fathers, who have supposedly written about purgatory. They suppose that we do not see why and how they use such passages. St. Augustine does not write that there is a purgatory and cites no passage of Scripture that persuades him to adopt such a position. Instead, he leaves it undecided whether there is a purgatory or not and says simply that his mother asked to be remembered at the altar, or sacrament.39 Now all of this is nothing but the human opinions of a few individuals, who can establish no article of faith (something God alone can do). But our papists employ such human words in order to make people believe in their shameful, blasphemous, accursed fairs of Masses offered up into purgatory for the souls of the dead, etc. They will never prove such a thing from Augustine. When they have given up their purgatorial “Mass fairs” (something Augustine never dreamed of), then we will discuss with them whether St. Augustine’s word, lacking support from Scripture, may be tolerated and whether the dead may be commemorated at the sacrament. It will not do to formulate articles of faith on the basis of the holy Fathers’ works or words. Otherwise, their food, clothes, houses, etc., would also have to be articles of faith — as has been done with relics. This means that40 the Word of God — and no one else, not even an angel — should establish articles of faith.41
(Robert Kolb and Timothy J. Wengert, eds. The Book of Concord: The Confessions of the Evangelical Lutheran Church. Accordance electronic ed. (Minneapolis: Fortress Press, 2000), 303-304.)
Melanchton's approach was quite masterful. Instead of approaching the issue from the viewpoint of "do the dead hear our prayers", he approaches it from the viewpoint of, "Why would we want and what need is there for praying to the dead?" As the Apology points out, there is no command in all of scripture to pray to them. But there are commands to pray to Jesus. And right after that the Apology also points out there is no promise in all of scripture that those who have gone before us can hear our prayer. But there is the promise that Jesus can hear our prayers. This is a brilliant and beautiful approach. For it doesn't get us bogged down in areas that God's word does not address (can the dead hear us?). Instead, it puts our faith and salvation on what we can know for certain from scripture.
Finally, we have to tackle then what it means to pray for the dead. That word, "for" is a very flexible on in English usage. It is improper (both within the Bible and within official Lutheran documents) to pray for the dead in such a way that we are giving them an avenue to help forgiveness. That goes against the clear teaching that we have one mediator (Jesus). So also, it goes against the clear teaching that we have "one great high priest" (recurring theme in Hebrews).
But there is another "for" context to consider. It is common for Lutheran churches to pray for the dead in such a way that we pray to our Triune God, thanking our God for those who have gone before us. This is a very common practice, especially on All Saints Day. In that sense, Lutherans do pray for the dead.
As an aside, if you are scared or ashamed to ask your pastor for guidance in God's word, that is an area for concern. If your Lutheran pastor does not know what the official Lutheran documents (book of concord) say about this; or even worse, if he doubts or disagrees with them; or even worse: shames you for asking the question, it would be wise to find a Lutheran Church that honors God's word. And this Stack Exchange is a place to ask questions, but it is an embarrassingly poor place to find personal and pastoral support.
