If one looks at a $p-T$ diagram for a single phase system one notes that there is a line that separates the liquid and gaseous states. That line starts at the triple point, where three phases coexist, all at different densities and runs up to the critical point. This terminates at the critical point.
Note that in this set up, the volume is constant.
As you move up this line from the triple point by slowly heating the system, you find that the pressure of the gas phase rises because more and more liquid evaporates and the volume is fixed. Thus its density increases. The liquid phase, on the other hand, becomes less dense as the system is heated.
At the critical point the densities of the two phases vanishes and thereafter there is only one phase present, conventionally called the "fluid phase". The density at this point is clearly defined.
Very very near this critical point microscopic fluctuations in density become both macroscopic and visible with different small regions entering the gas state and then rejoining the liquid state. There are slight differences in density between the two because the system isn't quite at the critical point. Because of this light is strongly scattered by the system which now looks "opalescent" to the naked eye. Once the critical point is passed, in either direction, the "critical opalescence" vanishes.
Critical opalescence is one of those rare cases in which microscopic phenomena become macroscopic and detectable by our senses.