You can imagine tracing a path along a Klein bottle to see that it only has one side. To get more precise than that requires some topological context. If you slice it down the middle it turns into two Möbius strips and an orientation of the Klein bottle would induce an orientation of the strips, which are non-orientable. Alternately it has zero top integer homology, which you can get from looking at a triangulation. The orientable double cover of a Klein bottle is a torus, which is connected (if it were orientable, the double cover would be two disconnected Klein bottles).
You can imagine tracing a path along a Klein bottle to see that it only has one side. To get more precise than that requires some topological context. If you slice it down the middle it turns into two Möbius strips and an orientation of the Klein bottle would induce an orientation of the strips, which are non-orientable. Alternately it has zero top integer homology, which you can get from looking at a triangulation. The orientable double cover of a Klein bottle is a torus, which is connected (if it were orientable, the double cover would be two disconnected Klein bottles).