How to compile thicker OTF version of Latin Modern fonts?

In LuaLaTeX, with unicode-math, you don’t need to recompile. You can use the FakeBold= option, e.g.:

\setmainfont{Latin Modern Roman}[FakeBold=1.05]
\setsansfont{Latin Modern Sans}[FakeBold=1.05}
\setmonofont{Latin Modern Mono}[FakeBold=1.05]
\setmathfont{Latin Modern Math}[FakeBold=1.05]

Or even

\defaultfontfeatures{ Ligatures=TeX, FakeBold=1.05 }

Update

As of 2021, there is an excellent OpenType version of Computer Modern on CTAN, New Computer Modern. It comes both in the same weight and a thicker book weight, which is the default in newcomputermodern or fontsetup, and has much more extensive coverage than Latin Modern. It also comes with an OpenType math font.

It does not cover all of Knuth’s font families, but it does cover Computer Modern Roman, Sans Serif and Typewriter.

\documentclass[10pt,oneside,letterpaper]{article}
\usepackage{newcomputermodern}

\newfontfamily\lmodern{Latin Modern Roman}[
  Scale = MatchLowercase,
  Ligatures = Common ]

\usepackage{blindtext}

\begin{document}
\section*{Default}
\blindtext

\lmodern
\section*{Latin Modern}
\blindtext

\end{document}