Normal unpolarized light rays have many different "orientations". A polarizing filter only lets through light with a certain "orientation" and proportionally filters out light rays with different orientations. The further the orientation is away from the orientation of the polarizer, the less light makes it through, up 90 degrees where no light makes it through.
If you stack two polarizing filters at right angles, there is no orientation of light that can make it through both filters so the result is zero light transmission. If you vary the angles (most camera polarizing filters rotate to allow this) so they're not quite at 90 degrees you'll let a very small amount of light through, and thus get an ND effect allowing long exposures ect.
The best thing about doing this is that you can vary the strength of your ND filter. The only thing you need to do is get two filters of the same size and make sure the front most polarizing filter is not a circular polarizer.
A non-circular polarizer doesn't mean it's square! Just that after filtering out all but a certain orientation of polarized light, the filter mixes up the orientations of the light coming out the other side. This is done because polarized light with only one orientation messes with the camera's AF.
The only downside of this is that stacking filters can cause vignetting with wideangle lenses.