The variation of dark energy density with redshift, ρ X (z), provides a critical clue to the nature of dark energy. Since ρ X (z) depends on the dark energy equation of state w X (z) through an integral, ρ X (z) can be constrained more tightly than w X (z) given the same observational data. We demonstrate this explicitly using current type Ia supernova (SN Ia) data [the Tonry/Barris sample], together with the Cosmic Microwave Background (CMB) shift parameter from CMB data (WMAP, CBI, and ACBAR), and the large scale structure (LSS) growth factor from 2dF galaxy survey data. We assume a flat universe, and use Markov Chain Monte Carlo (MCMC) technique in our analysis. We find that, while w X (z) extracted from current data is consistent with a cosmological constant at 68% C.L., ρ X (z) (which has far smaller uncertainties) is not. Our results clearly show the advantage of using ρ X (z), instead of w X (z), to probe dark energy.