I've heard about it. I think it's happened to me only once, though.

Naturally, wikipedia has an entry on it:

In 2002, Emmanuele Jannini of L'Aquila University in Italy showed one explanation for this phenomenon as well as for the frequent denials of its existence. Skene's gland openings are usually the size of pinholes, and vary in size from one woman to another, to the point where they appear to be missing entirely in some women. If Skene's glands are the cause of female ejaculation, this may explain the observed absence of this phenomenon in many women. Retrograde ejaculation, where the fluid travels up the urethra towards the bladder (observed in 75% of test subjects) could also account for the observed absence.

Ejaculation in women seems to be aided or caused by stimulation of the area of the vagina known as the Gräfenberg spot (often simply known as the G-spot). The content of the ejaculated fluid is either all urine, all glandular secretion, or a combination of both.

Studies of the fluid ejaculated through the urethra have shown a different chemical composition than urine although urine may also be present. Glucose, prostatic acid phosphatase, and prostate specific antigen appear in female ejaculate along with lower levels of urea and creatine than found in urine. In some cases, ejaculate was differentiated from urine by the absence of an asparagus smell (after eating asparagus) or a dye.