Dictionary.com gives a few references. In short, it means "a critical explanation, especially of a text (and especially of the Bible).
The word's been around since the 1600's. It comes from Greek. "ex", from and "hegeistai", to lead. So it leads you through the text.
According to Wikipedia, you may see the word used interchangably with "hermeneutics" which is the development and study of theories of the interpretation and understanding of text, often used about religious texts. The word is related to the Greek god Hermes (no relation to the designer), and derives from a Greek word for interpreter. Hermes was the messenger of the gods, who often changed the messages he was delivering, changing their interpretation.
[Image from Heksenkring]