Connotation: an idea that is understood but not stated, when a certain word or phrase is used.  
I think the only way I internalized this meaning was by seeing examples.  I'll see if I can think of any:  evil; gypsyish; hippie.  Here's one they may relate to, although I myself don't know all the connotations:  punk, or punker.
This thread reminds me of Anna's link to that site where foreign writers had so much trouble translating Pres. Bush's "Bring it on"--we in the U.S. knew exactly what was meant.  
EDIT:  Hrmph!  Well, [nose in air e] it's getting on for 12:30 a.m., here, so I hope mine makes sense! (How dare he sneak his in while I was composing, grumble grumble...)