What is meant by the "probability density" of finding an electron?
In quantum mechanics we often need to find the probability at some position $x$. However, $x$ is a continuous variable with an infinite number of values so it does not make sense to ask what is the probability of being at some exact position , say $x=1/4$, as this will be vanishingly small. Instead we imagine that the probability is that of being at position x to $x + \mathrm{d}x$ where $\mathrm{d}x$ has some very small value. If $f(x)\,\mathrm{d}x$ is that probability then $f(x)$ is the probability density which must be a real non-negative number. It turns out that quantum mechanics postulates that the probability density is given in terms of the wavefunction is $|\psi|^2$.