I recently watched a Charmed episode and I ran into something I cannot understand. Here's the context:

I've run into few of those thorn demons myself.
Those pricks can be vicious. Pun intended. The poison works slowly but is also fatal.

So, I'm having difficulties undestanding the underlined part. Please, help!
The word 'prick' was intended as a pun. In other words, the word 'prick' has two different meanings, both of which could be appropriate in the sentence.

Look at definitions 1 and 7 here:
A pun is when a word has a double meaning and is deliberately used so the sentence will also have a double meaning, one legitimate and the other humorous, or (in this case) obscene. The more common auxilliary remark would be, "No pun intended," but in this case the author wishes to make sure you don't miss his obscenity.