If your afraid your not getting enough calories, which you may not, I can't really tell, eat more!
Seriously though, nuts are great fats and dense in calories. Everyone always mentions peanuts, I guess they're popular and cheap, but remember, almonds, cashews and others. Variety is important especially if your getting protein from non-meat sources. The same for beans, theres different beans besides kidney!
Other then that, milk, cheese, yogurt and cottage cheese are great sources of protein. If your worried about calories, get the whole milk types. Theres nothing wrong with milk fats if your in shape and active. Watch out for flavored varieties though, usually some low sugar jelly can flavor it just fine for less then half the sugar.
Thats all I got to say.
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