Dance Dance Revolution. Consuming celery while stealing said celery from a celery patch. Consuming anything while stealing it is the most efficient way of using food as fuel instantly. Shaving your head and attaching the hair to a cantaloupe which you launch off your back porch discus style. Just do stuff that is active and fun. Go out for a walk. Go swimming. Turn everything into a game. Instead of throwing away trash like a normal human see if you can throw that bowl of marinara pasta into the trashcan with your eyes closed while 30 feet away and your back to the can. I often play don't step on a crack when walking (yes, I'm crazy). Juggling is great fun as well! Incorporate play into your life and you will find burning calories is easy.
This might be a bit of an extreme suggestion, but gymnastics would be great for not only burning calories but also building lean muscle. I took a few courses when I was younger, and I'd come home completely exhausted after only an hour or so of training.
Besides, you'll learn a few neat tricks. I love the look one faces when I announce that I can do a standing back tuck. Or round-off whip to tuck.
I like to shoot hoops with friends and go for long walks with them. Sometimes, a brisk run just helps me clear my head, and it's even better when paired with good music.
You could also dance! Dancing is a great calorie-burner - there's a reason that the dancers are all so skinny.
Another thing to try is swimming - it's fun and really is amazing workout.
Many skinny people don't even have gym memberships. What I've found is that moderate exercise throughout the day (a long walk paired with some dancing, or something) beats going to the gym and working all at once on the treadmill, etc.
Another trick is to eat an early breakfast. As soon as you put food into your stomach, your metabolism kicks in and helps you burn more calories throughout the day.