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Serious Weight loss, The usual suggestions arent working

Ok Just a couple things to start. I'm NOT Anorexic, and I'm NOT Bulemic! I have no interest in being underweight and I'm trying to gain weight. That Having been said... I have been underweight all my life, I'm 32 and 6ft tall and 125 pounds. I have tried eating more, eating as unhealthy as possible, (Bring on the High Cholestoerol! - If only that were my problem) I"ve tried shakes, digestive aids, protein suplements, vitamins, laziness, eating before bed... Nothing, the only weight I gain is the weight of the meal I just ate. And most of it comes out later. When I was younger i felt that I was ok and just needed to grow out of it, but when? ONe problem is that I sometimes feel that I cannot eat or I will throw up, ( I dont! I havent thrown up for years and that time I had the flu) especially when I try to eat sweets or suggary snacks. The things I do seem to be able to eat are vegetables, fruits, Ice tea, and other things that are supposed to be healthy, Especially this is true in the morning, and it makes it extremely difficult to eat breakfast, but this tells me that something is wrong, I'm usually not even very hungry and have to force myself to eat. I do often feel tired and lethargic, and sometimes get these little electric surges that i've kind of learned to atrribute to starvation. I go through times when I can only eat just a little bit at a time, and If I try to eat alot for lunch, I can barely eat any dinner, its almoast as if my body does not know how to eat or process food properly. Alot of people say they wish they were me but trust me you shouldnt, this is not healthy and I'm affraid if I let it go to long its going to kill me, but my doctor does not have a solution other than eat more (I'm trying! it aint workin!) Has anybody had anything similar? Thanks.
Ok, I appreciate the suggestions for snack Ideas, but I resent being told I trained myself not to eat. And I have never smoked. I suppose I forgot to mention in my question, that I've been trying for years now to turn this around and pushing myself to eat what I can when I can, and have been using all these suggestions for the past few years, thus what I say "The usual suggestions arent working" Eating more is not working! and I dont need a doctor to tell me to eat more, I need to Identify possible other causes. THis is not a case of "Oh i'm just not hungry so I wont eat" this is why am I not hungry I need reasons? Thank you for your responses.