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Asking for the doc via ?density_plot in the sage console gives a lot of information:

Signature:      density_plot(*args, **kwds)
Docstring:     
   "density_plot" takes a function of two variables, f(x,y) and plots
   the height of the function over the specified "xrange" and "yrange"
   as demonstrated below.

   "density_plot(f, (xmin,xmax), (ymin,ymax), ...)"

   INPUT:

   * "f" -- a function of two variables

   * "(xmin,xmax)" -- 2-tuple, the range of "x" values OR 3-tuple
     "(x,xmin,xmax)"

   * "(ymin,ymax)" -- 2-tuple, the range of "y" values OR 3-tuple
     "(y,ymin,ymax)"

   The following inputs must all be passed in as named parameters:

   * "plot_points" -- integer (default: 25); number of points to
     plot in each direction of the grid

   * "cmap" -- a colormap (default: "'gray'"), the name of a
     predefined colormap, a list of colors or an instance of a
     matplotlib Colormap. Type: "import matplotlib.cm;
     matplotlib.cm.datad.keys()" for available colormap names.

   * "interpolation" -- string (default: "'catrom'"), the
     interpolation method to use: "'bilinear'", "'bicubic'",
     "'spline16'", "'spline36'", "'quadric'", "'gaussian'", "'sinc'",
     "'bessel'", "'mitchell'", "'lanczos'", "'catrom'", "'hermite'",
     "'hanning'", "'hamming'", "'kaiser'"

   EXAMPLES:

and so on. (Truncated.) The many doc examples are not related to the option specifying the color map...

The one subquestion about the function (being a synonym to curve, or not), is immediately cleared, density plots are done for functions from a domain inside $\mathbb R^2$ with values in $\mathbb R$. The height of a function is then "giving the color".

The colors now.

From the sage interpreter console, the default seems to be "gray". The question mentions red + blue, so i have to guess that some other interface is using these colors by default. Possible color schemes are in the list:

sage: import matplotlib.cm
sage: cmapList = matplotlib.cm.datad.keys()
sage: cmapList . sort()
sage: cmapList[:10]
[u'Accent',
 u'Accent_r',
 u'Blues',
 u'Blues_r',
 u'BrBG',
 u'BrBG_r',
 u'BuGn',
 u'BuGn_r',
 u'BuPu',
 u'BuPu_r']

(Only the first ten shown.)

Starting from the code:

var( 'x,y' );
def f(x,y):    return exp( -x^2-y^2 )

one can thus try the color maps / schemes:

density_plot( f, (x,-1,1), (y,-1,1) )    # gray
density_plot( f, (x,-1,1), (y,-1,1), cmap='Accent' )
density_plot( f, (x,-1,1), (y,-1,1), cmap='Spectral' )
density_plot( f, (x,-1,1), (y,-1,1), cmap='Blues' )
density_plot( f, (x,-1,1), (y,-1,1), cmap='brg' )
density_plot( f, (x,-1,1), (y,-1,1), cmap='brg_r' )    # brg reversed
density_plot( f, (x,-1,1), (y,-1,1), cmap='gnuplot' )

and so on.