I'm 20 (male)... 5'10 and 125lbs... which obviously isn't very much. I've never weighed more than 130... and it seems to be so hard for me to gain weight. I eat just like everyone else, but nothing shows. People tell me that I just have a fast metabolism, and probably won't put on weight until my 30's when it slows down, I hope that's not true. This has been a complex and insecurity of mine for a while now, because I think I look unhealthy. and I would hate to live with it for another 10 years. It'd be like a 20 year old girl who was overweight saying she wanted to lose weight, and someone telling her "You have to wait until you're 30!"

I'm not sure what kinds of food to eat... a lot of the time it seems like I don't digest things right... sometimes it seems like foods just go straight through me, and that I don't absorb the nutrients I need. So I don't know how to fix that. And I don't know how to balance food and exercise, in order to gain more weight. Because I have a really thin frame, and I don't want to be really skinny with muscles. So I don't know if I'd gain fat and turn that into muscle or what. I'm not looking to be "macho man" though, maybe 145-155. But the last time I exercised... I went to the local gym for a month, and worked at it for an hour every other day... and I just got discouraged because I didn't see any results. I'm sure I should try to stick with it longer. I wasn't looking for drastic changes in that month, just enough for me to say "hey this is going somewhere". Just enough to encourage me.
Anyway, if anyone has any advice, it'd be much appreciated.

Are you exercising? If so, how often, and what does your routine look like?
Do you have any idea how many calories you're getting? Are you eating clean?