A "jesus nut" is a special nut that is used to hold the rotor blades of a helicopter to the main rotor shaft. It is called a "jesus nut" because it is very important and if it were to fail, the rotor blades could come loose and the helicopter could crash, putting the lives of those aboard in danger.
The nut got its nickname because pilots and crew members would say a quick prayer to Jesus before taking off, hoping that the nut would hold and they would return safely. Nowadays, engineers have improved the design and materials used to make the nut more reliable, but the nickname has stuck.