Density maps depict rounded longitude and latitude data points, so you get the general shape of a country / countries, but broken down to a level of granularity deeper than the standard State / County / City intersections.
This is a type of chart which has literally just been posted today (12/07/2016), and as yet is not supported by a video. As soon as one is posted, I’ll update this article.
Matt Chambers leads the way here, and has posted two articles relating to this subject. The first is pleasingly simple to follow, and is literally just a case of wrapping the ROUND() function around longitude / latitude Measures:
Shortly after that post, Matt posted a follow-up which extends upon the original by adding Hexbins to define the shape of the plotted data point:
The Hexbin version of the Viz is available on Tableau Public:
As is the “standard” Square version: