Listen to these guys bro...
They know what they are talking about. You and I are sorta in the same boat, im 25, 5'7 and 150lbs but when i was 19 i was 120lbs, it took a lot of hard work to get up to 150lbs. I came to this site in about Jan. just so i can have some one help me and tell me what kind of steroids i need to take, but its not that simple. I spoke to a lot of people and they gave me great advice.
I needed to train more and naturally up my weight 1st, which i have been doing... my weight has been increasing but at a slow rate and i train 5 days a week im almost 158 lbs.
I am looking to start my 1st cycle in about 3 months, but thats after reading and educating my self for months on end.
I know you said you tired all kinds of diets, but like Maddawg said you need to eat more calories, protien and carbs. Here is a site that will help you www.fitday.com this site has helped me a lot, you get to keep a track of what your eating, and what its doing for you. give it a shot. If at the end of the day your not eating 4 to 5000 calories then you need to eat more.
Hope this helps good luck bro