In reply to Mike Wessel.

The only requirement on a density function is that it is a positive function whose total integral is 1. The simplest density that exhibits this is the uniform density on [0,a], which has the constant value 1/a. For example, the uniform density on [0, 0.1] has the value 10. A normal distribution will have a peak density that is greater than 1 whenever the standard deviation is less than 1/sqrt(2*pi) ~ 0.399.