Which is denser: Mercury (element) or Water?

When we say denser, it simply refers to the density of a substance. The substance with a higher density is denser as compared to the other substance/s. Density of an object is the ratio of its mass and volume. That is,

density = mass/volume

and it has units of kg/m^3 or g/cm^3 or g/ml, etc. (since mass has units of g or kg and volume has units of m^3 or cm^3, etc.).

The density of element mercury is about 13.6 g/cm^3 or 13,600 kg/m^3. In comparison, water has a density of about 1 g/cm^3 or 1000 kg/m^3. Thus, mercury is about 13.6 times as heavy as water or we can say that mercury is 13.6 times denser than water. Incidentally, the ratio of the density of a substance to that of a standard fluid (typically water) is known as the specific gravity and hence the specific gravity of mercury is about 13.6. 

Note that density is a function of temperature and may vary depending upon an increase or decrease in the temperature. 

Hope this helps.