From The Two Towers; Chapter: The Palantir; Pippin speaking about his vision in the Palantir:
The the stars went in and out - they were cut off by things with wings. Very big, I think, really; but in the glass they looked like bats wheeling round the tower. I thought there were nine of them. One began to fly straight towards me, getting bigger and bigger. It had a horrible - no, no! I can't say.
Whenever I read this I am sorry to say that I snigger - because I cannot think of any decent horrible thing which the Nazgul might have, which Pippin could not say.
Now, I don't really believe this is the one and only example of smutty innuendo in The Lord of the Rings - although if there was to be such a thing, Pippin would surely be the most likely character to make such a comment.
But I cannot think what the horrible thing was that Pippin could not bring himself to mention, even under the influence of a 'truth spell' from Gandalf.
Any (non-indecent) suggestions?