What is the second thread on the crank for? I am trying to fix the problem with my bicycle where the left crank keeps unscrewing itself. The thread on which a serrated lock nut should keep the pedal in place is conventional (clockwise to tighten). 

When looking closely at both sides. There is some sort of thread on the inside of the crank cavity itself and it's not used by anything since this cycle has been bought. May anyone know what this may be for?
The lock nut is used to wedge to crank on the bottom bracket spindle.
If you open it, you should still not be able to get the crank off, at least not easily.

For square tapered bottom brackets, usually you have to use a tool called a "crank puller", which is hold in place with the outer thread.

See this article over at Sheldon Browns for details and very interesting pictures showing whats going on inside the cranks.