If you don't look too skinny, are able to perform normal exercises, eat normally & healthy, don't worry.
The BMI seems to be the holy grail of weight watching today but my mathematical background tells me there's something wrong with it. The BMI calculation uses the square of your length (length * length) but simple math tells us that the volume of a body, and therefore its weight, is proportional to the third power of your length (length * length * length), all other proportions being equal.
In other words, assuming equal proportions, should a person being 2 meters tall be allowed to be twice as heavy, four times as heavy or eight times as heavy as a person being 1 meters tall? I think eight times, since the person is twice as big, in all three dimensions. But the BMI calculations only allows four times as heavy.
Now for an average person size (about 1.80 to 1.90) it won't matter that much (that's what the BMI overweight/underweight numbers are calibrated for), but for shorter people, the current BMI calculations almost by default puts them into the "underweight" category, and larger people almost by default are "overweight".
Now I only need to convince the whole world the BMI calculation is wrong...
Discussion on BMI and its general value of diagnosing individuals (which it was never intended for) at Wikipedia:
http://en.wikipedia.org/wiki/Body_mass_index
Read the "discussion" page on the Wikipedia too. I especially like the following quote:
At the following url is a fit calculation that comes up with an exponent of 2.59 (about half way between square and cube)