St. Jude preached in Mesopotamia, and it is said that he is the one who brought the Shroud of Christ to there. The Shroud stayed in Mesopotamia for many years before being brought to Turin.
Due to the close relation of St. Jude's name with Judas Iscariot, early Christians often confused the two, and so did not pray for St. Jude's intercession, making him somewhat of a 'lost cause'. This is the reason that St. Jude Thaddeus is the patron saint of lost or hopeless causes as well as desperate situations.
Prayer to St. Jude
Most holy Apostle St. Jude, faithful servant and friend of Jesus, the name of the traitor who delivered the beloved Master into the hands of His enemies has caused you to be forgotten by many, but the Church honors and invokes you universally as the patron of hopeless cases, of things despaired of. Pray for me who am so miserable; make use, I implore you, of this particular privilege accorded to you, to bring visible and speedy help, where help is almost despaired of. Come to my assistance in this great need, that I may receive the consolations and succor of Heaven in all my necessities, tribulations and sufferings, particularly (here make your request), and that I may bless God with you and all the elect forever.
I promise you, O blessed St. Jude, to be ever mindful of this great favor, and I will never cease to honor you as my special and powerful patron and to do all in my power to encourage devotion to you. Amen.
St. Jude... Pray for Us!