Jesus spoke these words (see title of post) when comforting the disciples as He told them about His forthcoming death and resurrection. Jesus tried to get the disciples to see beyond the initial horror of His words. They couldn't at that time really comprehend God's plan. Their concept of Messiah was way off the mark.
When Jesus told them to believe in Him, He was calling them to extend their faith beyond just believing in the overall concept of God. Instead of God being out there some where in the cosmos, God is as close as we realize Him to be. Jesus wanted the disciples to believe in the incarnate God - deity with skin on. Emmanuel - the divine coming down to dwell with men as a man. It is easy to think of God as some one who is great and yet detached from daily life. But Jesus wanted the disciples to see Him for what He truly was - a model for how to live the divine life here and now. Jesus shows us how to live for eternity in the everyday things of life. Jesus' example increases our faith to believe in God's power within each one of us. With God, all things are possible. This includes making a man holy.
Jesus calls us to join Him in the way. Jesus encourages us to let the Holy Spirit live through us for God's glory. He told the disciples that He would return. And He will. Jesus said that we know the way. But the apostle Thomas responded as if he didn't have a clue what Jesus was talking about. He asked, "Lord, we know not whither thou goest and how can we know the way?" Thomas' response reveals that he was focused on a physical path when Jesus was talking about something much deeper. Jesus clarifies his meaning by pointing to Himself as the way. Jesus was talking about a journey of becoming more like God in character not just a road to heaven.
As the discussion progresses, Thomas asks for Jesus to simply show them The Father. Thomas' request reveals that He does not understand who Jesus really is. Jesus is the physical representation of God on earth. If you have seen Jesus, you have seen The Father. Jesus declares that He does nothing on His own without the blessing and power of The Father. Today, we are to live the same way, completely dependent on God for each moment.
One of the major reasons why I believe that Christians today fail to enter into God's best life is because they are caught in the same kind of thinking as Thomas was. Well meaning Christians keep on asking to see God revealed when He is already here. People believe in God, yet they struggle to accept the notion that God resides in the hearts of His people and reveals Himself through them.