Double entendre

A double entendre is a phrase which is intended to be interpreted in two different ways, one of which almost always contains a sexual connotation of sorts.

An example is the Bellamy Brothers hit song "If I Said You Had A Beautiful Body, Would You Hold It Against Me?": the phrase can either mean "if I said you were attractive, would you be offended?" or "if I said you were attractive, would you allow me to physically hold you?"