This instructable will show you how to gain weight. This is really aimed at the fast metabolism (I eat like a horse and still can't gain weight) crowd.
I decided to revise this due to the amazing number of views this instructable has and the important points about nutrition I've learned since first publishing this.
Lots of Good Food (TM)
Weights to train with or access to a gym.
You can find good descriptions of stretching and strength training exercises in many books, "Scrawny to Brawny" is one example. I bought that book and it could have been fit into a pamphlet, but it described the exercises well.
You could look up information on your basal metabolic rate and caloric intake and lots of nifty formulas, but it's not really necessary to follow this as a process. In fact, I encourage you to look up all the assertions I'll be making to educate yourself and better understand why these techniques will work for skinny people. Don't take my word for it.
Now I'm going to boil down the weight gaining process for you. It's up to you to gradually work it into your life. It's work, but you can do it.
Step 1: Why You Have A Hard Time Gaining Weight
If you're skinny, like me, and you always have been, chances are you have a hard time gaining weight if you want to.
You've got a few things that prevent you from gaining weight:
1) A fast metabolism. The only way to get around this burn-everything-you-eat metabolism is to eat more than your system has the capacity to burn.
2) Higher percentage endurance muscle fiber vs. strength muscle fiber. There are two big types of muscle fibers. One is really good at aerobic exercise (if you're me, you have a lot of this). The other is strength fiber. Increasing body mass requires you to avoid endurance training as much as possible, especially during the first three weeks. You must lift weights to increase your proportion of strength muscle fiber. Heavy weights.
3) Nutritional deficiencies from early in life. You can read two books to see how this might make a difference: "Nutrition and Physical Degeneration: A Comparison of Primitive and Modern Diets and Their Effects" by Weston A. Price, first published in 1939! There's also a more recent book that goes into epigenetics called "Beautiful Babies: Nutrition for Fertility, Pregnancy, Breast-feeding, and Baby's First Foods" by Kristen Michaelis.
3) Your body proportions make some exercises difficult to do, if not impossible, without injuring yourself. The standard overhead barbell press will hurt my back, for example. This is because I have long arms, a short torso, and really long legs. I have to hold the barbell a different way than Ah-nold does. Avoiding injury will help you stay on the weight-gaining bandwagon.
4) A lack of knowledge. Previously, you didn't know what the price really was to gain weight. This instructable should square that away.