The probability density function is a fundamental concept in statistics. This chapter explains how to estimate a density from a given data set and to explore how density estimates can be used, both in their own right and as an ingredient of other statistical procedures. One approach to density estimation is parametric. A very natural use of density estimates is in the informal investigation of the properties of a given set of data. Density estimates can give valuable indication of such features as skewness and multimodality in the data. The investigators concluded tentatively from the density estimates that the density underlying the sudden infant death cases might be a mixture of the control density with a smaller proportion of a contaminating density of higher mean. Thus, it appeared that in a minority of the sudden deaths, the degranulated mast cell count was exceptionally high.