Let's analyze each statement:

Concept: Understanding the nature of sigma ($\sigma$) and pi ($\pi$) bonds, and their characteristics, is fundamental to chemical bonding.

Why (D) is correct: All the given statements (A, B, C) are incorrect. Let's examine each one:

• Statement A: A sigma bond has no free rotation around its axis.
  This statement is incorrect. Sigma bonds are formed by head-on overlap of atomic orbitals. This type of overlap allows for free rotation of the atoms or groups of atoms around the internuclear axis without breaking the bond. This free rotation is responsible for the existence of different conformations in molecules.
• Statement B: Two p orbitals always overlap laterally.
  This statement is incorrect. While p orbitals can overlap laterally to form pi ($\pi$) bonds, they can also overlap head-on (along the internuclear axis) to form sigma ($\sigma$) bonds. For example, in the formation of the F${}_2$ molecule, the 2p orbitals of two fluorine atoms overlap head-on to form a sigma bond.
• Statement C: There can be more than one sigma bond between two atoms.
  This statement is incorrect. Between any two atoms, there can be at most one sigma bond. If multiple bonds exist between two atoms (e.g., double or triple bonds), the first bond formed is always a sigma bond, and any subsequent bonds are pi bonds. For example, in an ethene molecule (C=C), there is one sigma bond and one pi bond between the two carbon atoms. In an ethyne molecule (C≡C), there is one sigma bond and two pi bonds.

Since all three statements A, B, and C are incorrect, the correct option is D.

Correct Answer: (D)