In the Solar System, among major bodies, Mercury’s density is just behind Earth’s.
[snip] Mercury is composed of metals and silicate material. Mercury’s mean density is the second-highest in the Solar System, which is estimated to be 5.427 g/cm3 – only slightly less than Earth’s density of 5.515 g/cm3.However, if the effects of gravitational compression – in which the effects of gravity reduce the size of an object and increases its density – then Mercury is in fact more dense than Earth, with an uncompressed density of 5.3 g/cm3¯ compared to Earth’s 4.4 g/cm3¯. [/snip]
http://www.universetoday.com/36935/density-of-the-planets/
A tough little runt!