This article is from the alt.usage.english FAQ, by Mark Israel email@example.com with numerous contributions by others.
Mentioning something by saying you aren't going to mention it
(e.g., "I won't mention his laziness") is called "apophasis" or
"preterition". Joseph Shipley's "Dictionary of World Literary
Terms" (The Writer, 3rd ed., 1970) says: "~apophasis~ Seeming to
deny what is really affirmed. Feigning to pass by it while really
stressing it" (e.g., "not to mention his laziness"): "paralepsis.
Touching on it casually: metastasis. Pretending to shield or
conceal while really displaying (as Antony with Caesar's will in
Shakespeare's play): parasiopesis. [...] ~autoclesis~ (P. the
self-inviter). Introduction of an idea by refusing before being
requested, intending thus to awaken (and respond to) a demand, as
Antony with the will in "Julius Caesar"." "Paralepsis" is more
often spelled "paraleipsis" (which is the Greek form) or
"paralipsis". A few sources (such as The Century Dictionary,
and the Universal English Dictionary by Henry Cecil Wyld) do not
support a distinction between apophasis and paraleipsis.