You'll usually hear this expression in the form of a rhetorical question: "Does a bear sh*t in the woods?". Sh*t is of course a fairly common word that means waste matter excreted from the bowels. Woods are forested areas, which is where you will often find bears (and therefore where they would normally defecate).
That means the obvious answer to the question is: "Yes, of course". However the question is usually used rhetorically to make a point rather than expecting an answer. For example, if someone were to ask "Do you want another drink?", he might get the answer "Does a bear sh*t in the woods?" meaning "Yes, of course I want another drink".
The other rhetorical question that you might hear used in this way is :"Is the pope catholic?". It's used in the same way as "Does a bear sh*t in the woods?" to mean "Yes. of course".
Hope this helps.