Double entendre (edited Wiki excerpt):
A double entendre is a figure of speech or a particular way of wording that is devised to be understood in either of two ways, having a double meaning. Typically one of the meanings is obvious, given the context whereas the other may require more thought. The innuendo may convey a message that would be socially awkward, sexually suggestive or offensive to state directly. (The Oxford English Dictionary describes a double entendre as being used to "convey an indelicate meaning", whilst Longman Dictionary of Contemporary English defines it as "a word or phrase that may be understood in two different ways, one of which is often sexual")
A double entendre may exploit puns to convey the second meaning. Double entendres generally rely on multiple meanings of words, or different interpretations of the same primary meaning. They often exploit ambiguity and may be used to introduce it deliberately in a text. Sometimes a homophone (i.e. another word which sounds the same) can be used as a pun.
A person who is unfamiliar with the hidden or alternative meaning of a sentence may fail to detect its innuendos, aside from observing that others find it humorous for no apparent reason. Perhaps because it is not offensive to those who do not recognize it, innuendo is often used in sitcoms and other comedy considered suitable for children, who may enjoy the comedy while being oblivious to its second meanings. For example, it has been suggested that Shakespeare's play Much Ado About Nothing used this ploy to present a surface level description of the play as well as a pun on the Elizabethan use of "nothing" as slang for vagina.