It's not the case that two entangled electrons must have opposite spins. When they share a physical state, as in the s orbital of a helium atom, then they must have opposite spins, since they can't share the same total state (including spin), by the Pauli exclusion principle. (Or, because their wave function is anti-symmetric). And, in this case, they are certainly entangled.
But in general if electrons (or any particles) are entangled it means only that one or more of their properties (could be spin, momentum, whatever) are correlated in some way. If you measure the correlated property of one, then you know that property of the other. Two entangled electrons do not have to be in the same state, of course. In a typical gedanken, they might be physically separated by a few light years. So they could be correlated to have the same spin, without offending Pauli.
Suppose we take two electrons in the same state (s-shell, say) and separate them physically without affecting spins (a very delicate operation to say the least!) They're no longer in the same state, but still, their spins must be opposite. However, with the spin axis oriented vertically, physically turn one of them upside down - now their spins must be the same. Well, actually the gyroscopic quality of the spin angular momentum would make it difficult to accomplish that precisely. So, you could use Thomas precession (just the right amount) to do it.
Another example, suppose a spin-1 particle decayed into a bunch of products, including two electrons. Suppose all the other particles' spins added up to 0. Then the two electrons are entangled and must have the same spin.
The whole discussion has a certain air of unreality since spin is dependent on the orientation of your measuring device; talking about the spin of an electron without specifying the experimental setup is, in fact, meaningless. I've been assuming that it was carefully specified, all along. Final note, just to avoid confusion: of course we're talking about the direction of spin (up, down, or a sum thereof with norm 1) not the magnitude, which is always 1/2 hbar.
As always, I could be wrong. Don't trust anything I say until someone more qualified agrees.