A double entendre is a word or remark that has a hidden (or not so hidden) naughty meaning. We'd give you an example, but this is a family site.
Double entendre is from a now obsolete French term, double entente, meaning literally "double understanding." The British —- masters of the art of the double entendre —- imported the phrase from their Gallic cousins. While some regard it as a low form of verbal humor, Shakespeare himself was a great lover of the form, and his plays are filled with some highly filthy examples.