Double entendre is a figure of speech or a certain turn of phrase which has two meanings: an explicit and implicit one. The latter is usually hidden in this way due to its being scandalous or otherwise inappropriate. 

The phrase "double entendre" comes from the French expression for "two meanings" (Merriam-Webster) and is somewhat similar to another phenomenon, the pun. The difference between the two is that puns are usually intended as light-hearted and fun and double entendres are, for the most part, related to sexual or lewd topics (Merriam-Webster).

Double entendres are used as a way to disguise a hidden message. Sometimes, they are used to get away with saying inappropriate things while appearing tactful, other times they can be used in clever ways to hide little "easter eggs" in media or literature. Surely you can remember re-watching a movie you used to love as a child and realizing the real meaning of some of the jokes made.