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Orthodoxy may be loosely definied as believing the right things; a member of a church is orthodox if he/she holds to all the tenents of that religion. In "1984" the desired form of orthodoxy is unconsciousness in the sense that believing is not questioning, and unconsciousness is the best state (pun intended, I guess) for that kind of believing. It's not understanding and accepting; it's never being aware enough to question.
To understand this phrase try reversing it....
"Thinking is unorthodox." In other words, the dictatorship in 1984 does not want you to think for yourself or question anything. To be a good citizen your mind should be empty. If your mind is empty, you are no risk to the authorities.
To an extent, all governments do this, they do not want you to ask difficult questions like "Why are we killing people in Iraq?", they just want you to say, "Hooray! Hooray! Are soldiers are very brave and always fight for Freedom. Hooray for us!" They don't want you to think unconventional thoughts. Especially that most dangerous word, 'Why'. With levers such as Patriotism and Religion they define what is acceptable and call you unAmerican or unChristian if you step outside those lines.
They want you to think what they want you to think.
In 1984 this is even more extreme.
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