A keyword analysis is a little study about specific keywords needed for a particualr niche.
A keyword density analysis will be about the number of time you use a specific keyword within all the keywords used.
Let's say you have a new site about B.M.W.
Keywords would be "BMW, 3-series, 5-series, cars, german car" and so on...
Density of a specific keyword is a percentage of that keywords within your body or meta tag. I'll say that the main keyword - here, it would probably be BMW - shouldn't pass 7% of the total number of words, and so on...
BMW in "BMW, cars, BMW, 3-series, BMW, 5-series" is at 50% (3 times on the 6)
Hope this help...hope I'm clear enough