This won't be the answer you want to hear, but different things work for different horses. It also depends on what is currently not in your horse's diet. With my TB, I have tried:
Farnam Weight Builder
The only ones I had luck with were Omegatin and SmartGain. Even then he was still a little ribby. I recently went a new route and tried Platinum Performance. It's not technically a weight gain supplement, but he does seem to be filling out on it.
Ironically I think what works best for most horses is lots and lots of hay. For the extra money these supplements costs, you could feed a extra bale each day.
You just have to see your distance...you don't have to like it.