It is commonly misquoted in this form from: Hell has no fury like a woman scorned.
The meaning is that nothing, not even Hell, can be as violent as the rage of a woman who has been scorned/spurned by he lover.
So did I, and it was a surprise to me how the original had 'a' fury, which was dropped to maintain the metre; it was quite unusual anyway - perhaps 'a fury' was more widely used then. Nowadays, fury is chiefly (only?) countable when it's either a mythological Greek one (Erinyes - Wikipedia, the free encyclopedia) or in a construction such as 'she gave leash to a fury that nobody had expected' [which, now I think of it, is an ellipted form of 'a sort of fury'.