It really depends what kind of weight you want to gain. The healthiest weight to gain would be muscle. Not knowing what you're already doing, it's harder to say what you should do.
As truebluewriter said, you should eat lots of proteins (especially when lifting weights and working out). Eat eggs, nuts, and avocado for healthy fats. After working out, you should have a protein shake. They are easy for your body to absorb after a work-out and have a good serving of proteins so that your body won't break down your muscle.