Inference in probabilistic programs generally requires evaluating many possible program executions to find those of high posterior density. To scale inference to large datasets, it is crucial that expensive intermediate results are shared across these many evaluations, rather than recomputed from scratch. This paper presents a new approach to realizing this sharing, based on incremental computation, a technique for efficiently recomputing (deterministic) program outputs when program inputs change. First, we show how expressive probabilistic programs can be compiled to deterministic ones that compute their density functions. Then, building on the incremental λ-calculus, we develop a general technique for compositionally incrementalizing expressive functional programs, and apply it to these densities. The resulting incremental densities can be used to accelerate a broad range of Monte Carlo inference algorithms, including for non-parametric models not well supported by existing systems. Furthermore, our decomposition of incremental density computation into separate density and incrementalization steps allows for modular reasoning about correctness—a key pain point in existing systems, where ad-hoc incrementalization features are a known source of soundness bugs. We develop denotational logical relations arguments for the correctness of each step independently, and implement the approach in a Julia prototype, finding that it leads to asymptotic runtime improvements in the size of the dataset on a range of models and inference algorithms.