If an Ultimate is "Scepter Upgradable", that means purchasing the Aghanim's Scepter item will enhance your hero's ultimate. Usually there is a damage increase, cooldown decrease, and/or mana cost decrease, although some heroes have additional enhancements (i.e. Tiny with a scepter will wield a tree that enhances his Toss damage and gives him cleave damage for his regular attacks).
Aghanim's can be assembled with a Point Booster (you can get this at the Secret Shop), a Blade of Alacrity, an Ogre Axe, and a Wizard Staff.
Total Cost: 4200
While there is a limited amount of heroes whose Ultimates are enhanced by Aghanim's, IceFrog has previously stated that he wishes to implement scepter upgrades for all heroes.