Sunan an-Nasa'i 681
It was narrated that 'Abdullah bin Mughaffal said:
"The Messenger of Allah (S.A.W) said: 'Between each two Adhans [1] there is a prayer, between each two Adhans there is a prayer, between each two Adhans there is a prayer, for whoever wants to do it."

[1]Meaning, between the Adhan and Iqamah.
أَخْبَرَنَا عُبَيْدُ اللَّهِ بْنُ سَعِيدٍ، عَنْ يَحْيَى، عَنْ كَهْمَسٍ، قَالَ حَدَّثَنَا عَبْدُ اللَّهِ بْنُ بُرَيْدَةَ، عَنْ عَبْدِ اللَّهِ بْنِ مُغَفَّلٍ، قَالَ قَالَ رَسُولُ اللَّهِ صلى الله عليه وسلم ‏
"‏ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ لِمَنْ شَاءَ ‏"‏ ‏.‏