grass fed animal fats would be most nutritionally dense I figure due to the nutrients already inherent (you are eating whatever fat soluble vitamins the animal ate or made as well) also high fat meals vastly increase the absorption of your other fat soluble vitamins and things like fish oil. Also dousing your veggeies in fat (butter FTW) can deactivate some of the anti nutrients in goitergen containing veggies.
After the grass-fed proteins, dairy and fermented foods (again they come with nutrients inherent and in the case of fermented foods sometimes make the vitamins and nutrients you need or teach you own gut bacteria how to do it).
After that low carb high bulk veggies which while not nutritionally dense in a calorie sense do provide other nutrients and prime you gut flora with phyto nutrients and soulble fiber to make more things you need.
As far as the goal of losing weight you either go high fat moderate protein keto (A la PaNu or some of the studies on it (generally 10-15% protein 80% fat from studies I've seen)) or if keeping muscle mass/daily workout/athlete is an issue you go high protein with a calorie deficit (A la RFL from Lyle Mcdonald, not always paleo/primal but decent info, using the protein and BCAA's from the protein generally keeps your muscles intact even while loosing the fat).
Either one will re-set you body's set point and gut bacteria for that set point
of course all of this depends on what bang for your buck you are going for, for me and my goals best bang for the buck has been o3 pastured eggs, and grassfed heavy cream, after that frozen veggies(cause non perishable) and bones from meat for broths.