And from Devil May Cry 3 before that, the Monster Clown calls the Temen-ni-Gru tower a "thick shaft that causes women to shudder".
Devil May Cry 3 also has what could be seen as a visual double entendre: in the cutscene before the Nevan battle, there's a part where Dante grabs the hem of his pants (which apparently confused people who'd played God of War) and then whips out Rebellion. Rebellion is a sword. Hmm...
Kyrie's "She yearns for your touch!" line to Nero in Devil May Cry 4, considering how sweet and chaste she comes off.
The Ace Attorney games feature their share of Double Entendres.
In case 3 of Justice for All, a heavy bust of defendant Maximillion Galactica is used as a piece of evidence, which leads to Phoenix using the phrase "Max Galactica's ample bust" in the courtroom.
This conversation between Phoenix and Maya in one case. They're talking about his Attorney's badge.
Maya: You really love to show that thing off, don't you? Who knows how many times you've shown it to me? Phoenix: She's right. I whip it out at the drop of a hat.
"Mr. Wellington loves large bananas" in the 2nd game.
In the first game.
April May: I like a man with a big... vocabulary. Phoenix Wright: I'll get to this woman's bottom! Er, you know what I mean...
And there was a lot of talk between Apollo and Ema about Ema's "tool"...
Ashe in Mega Man ZX Advent: "Now that your appetites are whet for booty..."
Pursuing Mass Effect 1's Romance Sidequest with Kaidan Alenko creates what is probably an unintentional Double Entendre; asking Kaidan for "personal input" after all new conversational options have been exhausted causes Kaidan to reply that "There'll be time for personal debriefings later", a comment that sounds innocent at first but collects more and more of a double meaning the more he and Shepard flirt with one another.
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The actual in-game dialogue has even more of them. Or, to be more precise — about 3/4 of dialogue is innuendo, to the point when Haken has to explain that when he said "She uses bombs" he meant explosives.
There's also Garnet. Everything she says in combat is a double-entendre of some sort.
Pichu's Podedex entry: ?IT WILL DISCHARGE WHEN IS STIMULATED.
In one of Silver's rants: ONE DAY I WILL LET YOU KNOW I'M THE STRONGEST COACH, THE FELLOWS WILL CONSORT WITH ME. LISTEN, ONE DAY I WILL BEAT YOU DOWN, AND LET YOU KNOW MY STRENGTH.
Destroy All Humans! Big Willy Unleashed is one big double entendre. The plot involves Pox founding a hot dog stand named "Big Willy's", a parody of the real-life "Bob's Big Boy" franchise. Kolonel Kluckin, owner/proprietor of Kluckin's Kitchen, is trying to run Pox out of business, and hires a kidnapped and supposedly brainwashed rich heiress named "Patty Wurst". She attacks Pox's restaurant, to which Pox exclaims "She's hammering my Big Willy!" It goes on like this.
Metal Gear Solid has plenty of them; for instance Ocelot's "I love to reload during a battle. There's nothing like slamming a long silver bullet into a well-greased chamber." from the first Metal Gear Solid is a rather obvious one.
In World of Warcraft the Reputation grind for the Sons of Hodir faction requires you to complete the following quests every day; Blowing Hodir's Horn, Polishing the Helm and Thrusting Hodir's Spear.
The enemy in X3: Reunion is called the Kha'ak. And yes, it's pronounced like you think it is. Cue G4TV's hilarious review laden with hard and blown Kha'ak.
Baldur's Gate has quite a lot of them. Jan has a bunch of stories that are chock full (something about Golodon the Unmanned losing his rod?) Edwin occasionally interjects them into his dialogue and then there's the entire sidequest concerning the three pantaloons that give you the Big Metal Unit...
Noel: Miss Kokonoe, what were you planning to do to Mr. Ragna the Bloodedge after you put him to sleep?
Kokonoe: Ah, yes. Well, no reason not to tell you. First, I intended to take his INFERNO DIVIDER and put it in a CARNAGE SCISSORS with maybe a little GAUNTLET HADES too? Huh, my goodness, I can only imagine what his HELL'S FANG will DEAD SPIKE.
The QUALITY voice acting in the Resident Evil series means that a fair number of lines that wouldn't usually sound like double entendre end up sounding exactly like that. A golden example from the end of the original version of the game that started it all:
Barry: Do you have any idea what Wesker was going to show you in the back of this place? Jill: Well, he was talking about the world's most powerful biological weapon... called "TYRANT" or something.
In Animal Crossing, some of the possible conversations between animals are:
"Don't look! I've got a split in my pants!" "You aren't wearing pants... so what split?" "Um... gotta go!"
"*town name*, we got trees! And people and houses and the birds and bees"! Now, we all know what "the birds and bees" mean...
Pokémon Black and White has a Dating Sim-esque sequence: After defeating your date in a Pokémon battle, you go with said date on a ferris wheel. Your date's dialogue is positively laced with double entendres, especially from one of Hilbert's dates, a burly Hiker.
The tutorial quest of Dungeons & Dragons Online has the rogue catch up to your party and say to your female cleric leader, "Don't worry, Cellimas, I'm here to watch your behind now!"
In Wing Commander III, every single conversation between Blair and potential Love Interest Rachel is chock full of these. Perhaps not coincidentally, Rachel is played by porn star Ginger Lynn, and porno dialogue is notorious for this trope.
Shameless otaku Daru from Steins;Gate has a talent for instantly noticing whenever something a female character says can be misconstrued out of context and asking them to repeat it for him. Prime examples include "Put the banana in", and "Maybe that hole is too tight!"
In Starcraft II, the SCV pilot sometimes exclaims, "In the rear, with the gear!"
Although in the military, that expression is routinely used to denote non-combat personnel who are removed from the front lines. Given the propensity of vulgar expressions and double entendres in the military lexicon, this example is usually played straight by comparison.
In The Elder Scrolls series from Morrowind onward there's an in-game book by the name of The Lusty Argonian Maid. You can read excerpts from this book, and they are full of double entendres (especially the second volume).
In Morrowind, you meet the author of The Lusty Argonian Maid, Crassius Curio. Unsuprisingly, his dialogue contains quite a few sexual entendres.
Skyrim also has a random bit of dialogue you can observe between the Jarl of Riften's housecarl Unmid and steward Anuriel, in which Anuriel coyly asks Unmid if they'll be doing any more "combat training soon.
Morrigan's victory lines in the Capcom vs. series are practically intended to come off as this.
Possibly lampshaded in MapleStory. The Phantom class has has a skill with the same name as this trope.
Marvel Avengers Alliance has fun with this trope sometimes in the enemy attack and hero ability descriptions. For instance, Hercules' passive ability "Likes It Rough", where he gains stamina whenever he's attacked.
Kingdom of Loathing has its share of double entendres, especially when fighting sleaze-element monsters. There's even a zone where you fight constellations that are literal interpretations of euphemisms for genitalia (such as the Hooded Warrior and the Little Man in the Canoe), since the astronomers in the Times of Old had really dirty minds.
Street Fighter has JuriHan who is the undisputed queen of this trope. Her dialouge is practically filled to the brim with all manner of sexual innuendos. It doesn't help that she's a Depraved Bisexual.
"Now comes the fun part...You'll have to do better than that if you want to get me excited."
"Keep staring at me like that and I may get a little more...frisky...ha ha ha..."
"Oh man, that was great! Finally, someone who pushes all my buttons the right way..."
"You're too big to be finished already! Shouldn't you have more stamina?"