witch, she should know. Evil isn't just something she does; it's something she feels in her bones, or in this case, her thumbs.

The “something wicked” happens to be Macbeth, who's come to demand some answers to his questions. The first apparition conjured up by the witches in response to Macbeth's demand tells the king to beware of Macduff, the thane of Fife, which is exactly what Macbeth wanted to hear.

The second apparition tells Macbeth that he should “laugh to scorn / The power of man” because no man born from a woman shall ever harm him. Again, this is just what Macbeth wanted to hear. As Macduff must've been born from a woman—or so Macbeth thinks—then there's no reason for him to fear the thane of Fife.

Finally, the third apparition provides added comfort for Macbeth by telling him that he will never be defeated until Birnam Wood marches out to fight him at “high Dunsinane Hill.” Macbeth is immediately reassured by the prophecy. After all, whoever heard of a wood marching?

As Macbeth will discover in due course, however, the meaning of these prophecies isn't quite as straightforward as he originally thought. He certainly had no reason to be reassured by them.

By the pricking of my thumbs,

Something wicked this way comes

Open locks/ [to] whoever knocks.

In act 4, scene 1, Macbeth goes to see the witches for more prophecies. He has wanted more information from them ever since they originally predicted he would become King of Scotland. By act 4, Macbeth is king (which he achieved by murdering King Duncan) and has become a paranoid tyrant. He is becoming desperate to know how he can maintain his power and position. Before he arrives to meet the witches, the witches are talking amongst themselves and concocting some sort of potion. The second witch says the lines that you mentioned in the question:

By the pricking of my thumbs,

Something wicked this way comes (IV.i.44-45).

This quote comes from Act IV, Scene I, of Macbeth, and is spoken by one of the witches. In modern English, this line simply means that the witch knows something bad is coming because there is a tingling sensation in her thumbs. It is an old superstition that a tingling in the hands or fingers (which does not have an obvious cause) is an omen that something bad is about to happen. So Shakespeare's audience would have understood the meaning of this line.

It is interesting to note that the "something wicked" in this line refers to Macbeth himself. Moreover, the witch is quickly proved correct in her assertion: Macbeth enters soon after this line is spoken and his recent crimes, including the murder of Lady Macduff and her son, prove that he really is wicked.

At the beginning of Act 4 in Macbeth, the witches are gathered in their lair, and soon Macbeth arrives to see them to get a new prophecy.  Just before he enters the scene, one of the witches says, "By the pricking of my thumbs, something wicked this way comes."  According to ancient superstitions, any pain, tingling, or other bodily sensations that had no direct cause were thought to be supernatural signs of events to come.  So here, the witch feels a pricking in her thumb, which is a sign to her of some evil on its way.  She goes on to say "something wicked" referring to Macbeth himself, who is being guided by his greedy and ambitious intentions.  And then Macbeth does enter the lair, proving that the witch's premonition is correct.