Given some data, is there a way of knowing the density of the data in certain areas?

If I have some data, how can I separate more dense parts of the data from less dense parts of the data?

[Walter Roberson]

What aspect of the data can be used to deduce "density" of the data? For example do you have a set of multi-dimensional points and the density should be related to how close the points are to each other? If so then how many dimensions need to be considered in that calculation?

[Image Analyst]

Do you mean like cluster analysis??? http://www.mathworks.com/products/statistics/features.html#machine-learning