For the contours we have a new Scalar field command that is in our pre-release Beta version. This can represent Scalar fields and also draws contours. Any registered user can download and use the beta version.
Here is some manufactured data with x-y points that are binned using the Pivot command in both x and y to get the 2D density data in a regular grid. The output from the Pivot is used as input to the Scalar command.
In the image shown, the contours from the scalar field are drawn to above the points. Making the points transparent also really helps to convey the density visually.
Here is a video short that demonstrates this combination of commands:
DataGraph Beta Short: How to make a 2D Histogram and Scalar Field of Point Density
Throwing a lot at you in one response! If these examples are not quite what you meant let us know. You can also post an image if that might help.