My boys (2.9 and 9 months) are dairy and egg free and I struggle to think of calorie rich food for them too, especially puddings. When I cook stews etc for them I put far more olive oil in than I would for adults, and I use fattier cuts of meat, like lamb shoulder and minced beef too. When I do mashed potato I use loads of olive oil too, and one of their faves is roasted sweet potato (small cubes, coat in oil, about 30 mins in a medium oven, makes great finger food). Their favourite pudding is rice pudding which I make using the recipe on the packet of pudding rice but using soya milk instead of cows. It also works with Wysoy but I don't think you can cook with Nutramigen. This is really popular with a big dollop of jam.
I use the Pure spread and make sure I slather it on their toast, but I'm always a bit suspicious of margerine - it seems very processed and I'm sure butter would be healthier, and I wouldn't eat it myself because it tastes so revolting. The boys don't seem to care though.
Oily fish is a good thing to try too. Small tins of sardines, mackerel, tuna etc in oil mashed into a baked potato or spread on toast makes a cheap, quick and nutritious meal with some slices of tomato, peppers or whatever. I told ds1 that mackerel was his grandad's favourite and he loves it. If I can be bothered I make little fishcakes with the fish, potato and a bit of sping onion and sweetcorn then fried up. Ds2 loves them because he can pretty much eat them by himself.
I was advised (by paed dietician) to avoid egg until baby was 12 months old.