What does it mean to be less/more dense?

More dense means something has more molecules per volume. Less dense means that something has less molecules per volume.

Think of cheesecake vs. a regular cake. In a regular cake, there are often holes within the cake, making it light and fluffy. In a cheesecake, the cake is packed and there is not very much room in between the molecules. This is why some people refer to cheesecake as a "dense" cake.