A double entendre is a word or phrase with two meanings, one of which is generally indecent, improper or otherwise downright naughty. Appreciation and use of double entendre is by no means unique to the UK, but it's true to say that through the history of British humour, it has always had a enormous part.
Key components of a successful double entendre include use of indeterminate pronouns such as "it" and "one", plenty of prepositions such as "up" and "in", and handy little verbs like "have" and "get". A keen double entendre user will never raise a flag when he could simply get it up, or complicate a situation when he could just make it hard. It is important to remember that your expression should have some ostensibly clean interpretation, however unlikely - if this is omitted, you end up with a single entendre, which lacks style. Certain conversational topics are guaranteed double entendre zones: these include cookery (sausages, bananas etc.), architecture (gussets, cleats and erections) and engineering (knobs, gearsticks and lots of parts that get very stiff if you don't grease them properly).
It is traditional to show that you recognize a double entendre by calling out one of a number of possible response lines. Popular responses include "oo-er missus!", "fnarr fnarr", "matron!", "nudge, nudge, wink, wink!" or simply "sounds a bit rude!". It is also possible to add those sentences as suffixes yourself, although purists disdain such crass usage, preferring to just slip one in wherever possible.
Double entendres are indispensable when flirting or presenting BBC gameshows, and not recommended at funerals or international summit meetings.1 Past masters of the double entendre include Frankie Howerd, Kenneth Williams, Julian Clary and the fictional Finbarr Saunders.
Linguistic note: the French don't use the term "double entendre" at all2 - they call it a "double sens".