Probability density is a pure number and so has no units.
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probability density distribution
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See related link, In quantum mechanics, a probability amplitude is a complex number whose modulus squared represents a probability or probability density. For example, the values taken by a normalised wave function ψ are amplitudes, since |ψ(x)|2 gives the probability density at position x. Probability amplitudes may also correspond to probabilities of discrete outcomes.
It will not. For the interval (x, x+dx) it may well give a non-zero probability. With a continuous distribution, the probability of any particular value is always 0. What the probability density function gives is the probability that the variable is NEAR the selected value.
The probability density function of a random variable can be either chosen from a group of widely used probability density functions (e.g.: normal, uniform, exponential), based on theoretical arguments, or estimated from the data (if you are observing data generated by a specific density function). More material on density functions can be found by following the links below.