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When I plot theoretical densities separated into different categories sometimes I get densities that reach to greater than 1 on the y-axis. Why is this?

I'm using EVIEWS 6.

The area under the curve sums to 1, but that doesn't necessarily mean that the peak won't be higher?

It seems this is the case according to this forum: http://talkstats.com/showthread.php?t=12929

How would that be interpreted, though in terms of relative frequency?

Frequencies, in the way that I believe you are thinking about them, are only defined over regions for continuous random variables. Thus, you need to think about probabilities associated with a region (e.g., from 0 to .25 for a uniform(0, 1)) instead of countable points.