In contrast to the more self-explanatory titles of the other films, the title, “The Phantom Menace” is ambiguous. It is usually suggested that the title refers to either of the two Sith, or the Sith Order itself. The title could also refer to the origin of Darth Sidious’s name, which is the adjective insidious. The Oxford Dictionary gives the following definition:
Full of wiles or plots; lying in wait or seeking to entrap or ensnare; proceeding or operating secretly or subtly so as not to excite suspicion; sly, treacherous, deceitful, underhand, artful, cunning, crafty, wily. (Of persons and things.)
So the word phantom in the title of Episode I could be referring to the Dark Lord of the Sith and menace to the meaning of the name “Sidious.” Another possible meaning of the title is a subtle indication at the ultimate outcome of the Saga—the birth of Darth Vader.
http://starwars.wikia.com/wiki/Star_Wars_Episode_I:_The_Phantom_Menace