I hated the title when I first heard it in late 1998. It made me think of Scooby Doo.
I've since softened on it somewhat. I believe it to mean that the Trade Federation Squabble on Naboo is a "phantom" menace and was simply a means to stir the pot and distract the universe while Palpatine "Shot the moon" by killing all of the Jedi and replacing the Republic with an Empire.
Other interpretations take me back to hating the title, so please don't disagree with me. :)