Black hole Cyg X-1 doesn't seem dense enough According to wikipedia, here are the Cygnus X-1 vital stats:
Mass    14-16[7] M☉
Radius  20–22[8] R☉

A radius of 10 R☉ means a volume of 10^3 = 1000 Sols. Divided by 16 M☉ that means that Cyg X-1 is 60 time less dense than Sol. So how could it be a black hole?
 A: Cygnus X-1 is a binary system, and the radius you cite (taken presumably from Wikipedia article) is the radius of the binary system not the radius of the black hole. The Wikipedia article is highly misleading in this respect.
At least, I think it's the radius of the binary system. 20-22 R☉ is about 0.1 AU which I think is about the suggested spacing between the two stars.
A: As a side note (rather than addressing the real question as John did), the density of a black hole measured as $\frac{\text{mass}}{\text{volume inside the event horizon}}$ is not fixed and not required to be high. In fact it drops rapidly as the mass grows.
For a Schwarzschild black hole
$$
\begin{array}0
\rho_{BH} 
 & = \frac{M}{V_{EH}} \\
 & = \frac{M}{\frac{4}{3}\pi R_{EH}^3} \\
 & = \frac{3M}{4\pi \left( \frac{2GM}{c^2}\right)^3 } \\
 & = \frac{3 c^6}{32 \pi G^3 M^2}
\end{array}
$$
Of course, for stellar mass black holes this is huge (on order of $10^{16}\text{ g/cm}^3$  for the sun), but it can be quite "reasonable" for the supermassive black holes at the center of large galaxies.
