I think you are confusing calorie dense and nutrient dense.
Your thread title is most calorie dense foods, which would include ice cream; it has a lot of calories in a serving. Nutrient dense foods are foods that do not have empty calories and provide one with lots of vitamins, minerals, fiber, etc.
For calorie dense foods, fat sources will be the best option. As mentioned, oils are high in calories and lots can be consumed before feeling full. Nuts and nut butters are a second choice. A serving of nuts (200 cals) is about a handful. That is not a lot at all. If you ever measure out a serving of peanut butter, you would be surprised how small it is. Those are good foods to pack in calories.
For carbs, pasta and oatmeal have a pretty good amount of calories per serving.
For protein sources, go with fattier cuts of meat or meats with the skin. Think of chicken thighs. Not only do they have more calories, but they taste great.
Some people prefer "dirtier" foods such as ice cream when bulking because some do not have a great appetite and need high calorie foods so they do not become too full. Additionally, some people have really high caloric demands.