Calories and unsaturated fat. Calories, foremost. Find a weight gain supplement that you like (most pharmacies, department stores, and supplement stores have a vast array of choices.) They can be pricey but think of it as like buying medicine.
Drink lots of whole milk! If you can get fresh raw milk, even better. If you don't like milk, add chocolate syrup. Eggs, eggs, eggs. Scrambled, fried, boiled, whatever. They're protein packed. Whole grains; brown rice, breakfast cereal, whole wheat bread.
Red meat, if you're an omnivore. Iron and protein. With meat, fiber is essential- so fruit and veggies are a must. Or at least a fiber supplement.
Potatoes and sweet potatoes. Bakes, mashed, boiled, fried with olive oil, whatever.
When you work out/lift, you burn calories. Sit down and figure out how many calories your burning (tons of websites out there to learn how to calculate this- it's pretty simiple.) Take that number and add it to 2500. That's the *least* amount of calories you should be taking in daily.
Best of luck! Let us know how you're getting on!