Why are some planets denser than others?

Different planets are made up of different materials, and they are different masses. Some planets are made up of gases, they are called Jovian Planets. And some planets, the terrestrial, are made of solid rock or particles. It just depends on what they are made up of (:

The relative masses of planets is irrelevant - a litre of water has the same density as a millilitre. However, there are other factors to take into account - temperature and pressure. Heat a substance and it will expand but its mass will remain the same, i.e. its density will decrease. Compress a substance and it will contract, i.e. its density will increase.

Although the Earth is the densest planet, after Mercury, if Mercury was the same size as the Earth, Mercury would be the most dense. The Earth achieves this because of gravitational compression, where the gravity of Earth compresses the outer materials.