One could hybridise the two - a scatter plot whose points change colour as a function of proximity (the equivalent of a density plot with 1px wide bins and the background colour for zero).
This would preserve the outlier flagging of a scatter plot while alleviating its risk of obfuscation via density. Plus, one need not worry about picking an appropriate bin width any longer.
True, but this is primarily to address the decreased ability of a density map to indicate outliers. One could also have the proximity be a power function over the entire field (one could do this with density, too, but it makes more sense with a point).
This would preserve the outlier flagging of a scatter plot while alleviating its risk of obfuscation via density. Plus, one need not worry about picking an appropriate bin width any longer.