LIGO detects most massive black hole merger to date

What happens when black holes collide? Does one black hole “consume” the other? Do they become a larger black hole? Does it get more dense or just larger?

They become a more massive one. The volume of a black hole (assuming you're measuring at the event horizon) is determined only by its mass, so the final density is the same as you'd get for any other black hole of that mass regardless of how it came to be.

I don't know how to address the "consume" question. If you were pulling on a piece of fabric and two tears in it grew until they met each other to become one tear... would you say that the larger one consumed the smaller?