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.
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.
SUPER ROBOT TAISEN® OG SAGA: ENDLESS FRONTIER? SPILLS OUT ONTO NINTENDO DS? We like keeping you abreast of new developments in the world of Atlus, Faithful. That's why we're practically bursting at the seams to reveal Super Robot Taisen® OG Saga: Endless Frontier for Nintendo DS. As a continuation of the Atlus Spoils fan appreciation program, each and every launch copy of Super Robot Taisen OG Saga: Endless Frontier will be a premium boxed release, with a bonus soundtrack CD featuring music from the game included in the final retail package. My friends, this is one stacked action RPG. Contrasting the deep story and characterizations is the fast-paced, fighter-style combat engine. Juggling your opponent in the air, chaining together combos, using your entire party in concert... these may not be your typical RPG combat concepts, but with the quick, responsive battles in Endless Frontier, they're the name of the game. Behind the fighter mechanics are all of the nuanced RPG fixings genre fans have come to expect. We'd like to emphasize: this game is more than just the fights. This is a fully-developed, well-rounded adventure. Journey across a variety of worlds, ranging from an apocalyptic wasteland covered with the hulks of downed spaceships, to a fantastical place of fairy tales and dark magic. Join Haken Browning: gunslinger, professional bounty hunter, and amateur ladies' man-along with his motley crew of robots, were-beasts, secret agents, and busty princesses-as they delve deep into the mysteries of how their worlds came to be and face a threat that imperils the multiverse. There's so much game here, Faithful, you may just get lower back pain from the effort! With its unique combat and titillating story, this is one sci-fi action RPG sure to stick out this spring.
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.
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.
Spider: Wakey wakey, motherfucker! Ops says there's a delay in the feed, they need to recalibrate your ass!
Spider: Well it ain't me 'cause I'm goddamn near perfect. Men want to be me...
Rex: And you want to be with men. Yeah, I got it.
Wasn't even a double entendre until a writer from Kotaku, Patricia Hernendez, wrote an entire article about this scene, even making reference to the Kanja on Spider's bandanna being some sort of Japanese gay symbol. note The scene actually is saying that Spider wants to be around those as macho as he believes he is to not detriment his own macho image.