The third degree is an intense, harsh way to question a suspect. Your parents' excessive questions about your plans for the weekend might feel like the third degree.
It's very common for people to joke about the third degree, using it to mean "lots of questions" or "too much curiosity." The actual third degree is a cruel interrogation technique—essentially torture. The term dates from about 1900, and earlier meanings are also still used today: a third-degree burn is the most severe type, and a third-degree crime is the least serious.