I have never measured them, but the list on wikipedia puts gold far above lead, that seems to bear out anecdotal evidence -- it appears in historical accounts and fictional stories, that you can't easily steal lots of gold, it is just too heavy.
There is also the osmium/iridium controversy. From their atomic masses, they should be among the densest elements. But we have to conjecture, based on their crystal structure, which will "pack the most atoms" into a given space. Experimentally, its hard to get a big enough hunk of these elements, because they're so costly. The difference is at the second decimal place, so a small error in measurement can screwup the result totally. In the CRC I have, the debate extends, to whether or not the ingot of osmium or iridium is cast, or rolled and forged.
Once I was given a bunch of aluminum pieces that I had to clean for black anodizing (google it). I found one tiny, thin piece -- the size and thickness of my fingernail, and I asked, "This one too? Is it aluminum, or steel? 'Cause if its steel, it will be ruined in the anodizing bath." But no one remembered what the piece was made of. So I did the Archimedes trick -- determined its volume by how many cc it displaced in a graduated cylinder half full of water, dried it, and weighed it. I did not get exactly the density of aluminum, but it was way closer to aluminum than steel.
The Archimedes test only works for things far apart in density. How far? Depends on the accuracy you need -- which makes the story all the more important for chemists everywhere.