Some point and shoot cameras like the Olympus mju range have more megapixel capabilities than many DSLRs. Why is this? Is this because they have larger sensors or more dense ones? What are the trade-offs that are made to deliver such high density?
Pocket cameras have significantly smaller sensors than DSLRs, usually in the range of 5mm across as opposed to 22mm across. I'm not familiar with the Olympus mu range however I've seen 12 and 14 megapixel compacts.
These have more megapixels than DSLRs produced a few years ago, however it is mostly done for marketing purposes. The lenses in pocket cameras often wont have the resolving power to justify 14 megapixels, and if they did the limited light gathering ability of small pixels means aggressive noise reduction is used, smearing out any fine details.
There are reasons to produce DSLRs with lower megapixel counts, usually for speed of shooting for example the 10 megapixel Canon 1D mkIII or the 12 megapixel Nikon D3s. In any case these cameras will consistently beat a 14 megapixel compact in terms of resolution / noise, so there is no advantage to compacts when it comes to megapixels.
Megapixels are to cameras what top speed is to cars: it's an easy headline figure to boast about when in reality most customers will never need it. Worse still, other features may have been sacrificed in order to meet a price point with that alluring headline figure intact.
Put another way, it's a bit like asking why a little Hyundai has a top speed of 130mph when a top-of-the-range Rolls Royce with calf-leather interior, walnut dash and all the trimmings can only manage 110. :)
Small pocket cameras (known as point and shoot) have more megapixels at times because they are driven differently by the market than DSLRs. They tend to have very short lifecycles (1 year at most) and given all the other constraints (e.g. cost, size) the only thing they can "one up" is the megapixels.
DSLRs, on the other hand, have longer lifecycles and the design goals are entirely different. To take any quality shots in low-light you cannot use a point and shoot camera. By virtue of their much much larger sensors DSLRs are able to capture more light and detail with less noise.
Put in layman's terms, although the pixels on the end picture have the same size, the pixels in the two device classes are not equal.
Since megapixels are not a top priority on DSLR design, it does happen that point and shoots overtake them time to time.
Its the quality of those pixels that matters, not the total number. In low quality sensors you tend to get lots of noise, poor low-light behavior, bad moire effects, etc... High quality cameras don't have those issues. As far as noise is concerned, you could reduce the resolution of your picture to compensate -- but then you wouldn't have those high megapixels anymore.