Fosamax is the best (to date) drug for increasing bone density. It has to be taken 1 hour before food, as not much of the drug gets absorbed through the stomach. Make sure you wash it down well with a full glass of water, as it can cause problems if it gets stuck in the oesophagus. Some newer drugs are just being released. Strontium looks like it will be very effective, and does not seem to have side effects.
Weight bearing exercise, calcium and vitamin D all help too.