Having spent quite a bit of time looking at geospatial data in density plots, I'd warn that visualizing overlapping point data as a density plot is not a panacea for this problem. As it turns out, the distribution of colors along the density vector is also critically important.

e.g. Support you have lots of data where there are overlaps that aggregate to a value of 2, then a few that overlap to 5, and one or two that overlap to a value of 9.

Depending on how you distribute the colors you may either:

1. Only really see the colors at the low end and the high end of the spectrum, thus missing the 5 values (or they may be so near the color for 2 that you can't perceive them).

2. Clearly delinieate between the 2s the 5s and the 9s, but it's not clear that the 5s are more than magnitude than the 2s, while the 9s are not as big of a multiplier from the 5s.

3. Some other distribution that shows a different story on the magnitude of the density, but can be interpreted wildly differently.

Different color gradients can also be perceived by our visual systems differently, blue-to-red doesn't always cut it.