A double entendre is a figure of speech similar to the pun, in which a spoken phrase can be understood in either of two ways. This can be as simple as a phrase which has two mutually exclusive meanings, and is thus a clever play on words. An example of this would be the title of the short story, The Most Dangerous Game, by Richard Connell, in which the title can refer both to the "game" that is most dangerous to hunt, and "game" that is most dangerous to play.
But for many, perhaps even most, persons, a risqué, even sexual, element is central to their understanding of double entendre. The Oxford English Dictionary defines it as 'A double meaning; a word or phrase having a double sense, especially as used to convey an indelicate meaning'risqué, or at least ironic, requiring the hearer to have some additional knowledge.