Density is usually taken to mean mass density as opposed to energy density. Density refers to the ratio between the mass and volume of an object. Objects with high density have a lot of mass compared to a small amount of volume (like a lead brick). Objects with low density have a small mass compared to a lot of volume (like an inflated party balloon).
The density of air is approximately 1.2 kg/m3 near the surface of the Earth. The density of water is exactly 1000 kg/m3. Here's a table of densities of common substances. To learn more about density please visit hyperphysics.