We report the discovery of a massive (Mp=9.04+/-0.50 MJ) planet transiting the bright (V=8.7) F8 star HD 147506, with an orbital period of 5.63341+/-0.00013 days and an eccentricity of e=0.520+/-0.010. From the transit light curve we determine that the radius of the planet is Rp=0.982+0.038-0.105 RJ. HD 147506b (also coined HAT-P-2b) has a mass about 9 times the average mass of previously known transiting exoplanets and a density of ρp~12 g cm-3, greater than that of rocky planets like the Earth. Its mass and radius are marginally consistent with theories of structure of massive giant planets composed of pure H and He, and accounting for them may require a large (>~100 M⊕) core. The high eccentricity causes a ninefold variation of insolation of the planet between peri- and apastron. Using follow-up photometry, we find that the center of transit is Tmid=2,454,212.8559+/-0.0007 (HJD) and the transit duration is 0.177+/-0.002 days.Some of the data presented herein were obtained at the W. M. Keck Observatory, which is operated as a scientific partnership among the California Institute of Technology, the University of California, and the National Aeronautics and Space Administration. The Observatory was made possible by the generous financial support of the W. M. Keck Foundation. The authors wish to recognize and acknowledge the very significant cultural role and reverence that the summit of Mauna Kea has always had within the indigenous Hawaiian community. We are most fortunate to have the opportunity to conduct observations from this mountain. Keck time has been in part granted by NASA.