double entendre - a (hopefully) highly illustrative and (almost) completely humourless explanation
WARNING: SPOILER ALERT!
'Most double entendres in popular usage are sexual in nature. The following sentence illustrates, "A woman walked into a bar and asked for a double entendre, so the barman gave it to her." The sentence could mean either that the barman gave her an example, or that he had sexual intercourse with her.'
I also thought I'd include a somewhat ironic definition found at answers.com which made me chuckle:
'The noun double entendre has one meaning:
Meaning #1: an ambiguity with one interpretation that is indelicate'
If you need an explaination of 'irony' (and no, it doesn't mean 'a bit like iron') you'll have to beg me in the comments section. Or just watch Reality Bites.