The default density of a shape when you put it down is 1. The density of a shape can be changed by typing the density you want (numbers and decimal points only), and then pressing enter.
When changing the properties of a shape, you can change the density of it too. The smaller the density is, the lighter the shape is. High density can be used to crush things more easily, push lighter objects more easily, or require more force to push the shape around. Low density can be used to give the player something to grab onto and/or throw around with ease. You can change the density of shapes from 0.1 to 100.
Setting the density of a shape to just "." or "-" will replace the density with "NaN" and turn the object into a black hole.
If you compare the density to kilograms, you'll get some interesting results. When testing, Pogostick Man was able to keep a circle with the density of 8.6 in the air. The density of a character is 1. So he can lift 8.6 times his weight. If his weight is guessed to be about 62 kg, then 8.6 is actually 533.2 kg - more than half a ton.
Table comparing density with kg and lbs
(Not 100% accurate)