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It could be a few different things, I'm going to put each topic in its own comment to help with clarity: So if it's gas, I recommend getting infant simethicone (same stuff in GasX), and making sure you're burping your baby all the way; firm but gentle pats or rubs starting on their lower back and slowly working your way up (you're trying to shift the gas bubbles through the intestines and out, moving around helps). Either holding them up against your chest and shoulder like all the movies show, or laying them stomach down either on your arm (head by elbow, hold one of their thighs, body along your arm, leaning against you for stability) or across your thighs/knees while sitting should provide enough stability and pressure to help work the gas out (the arm one works pretty good if your baby is pretty colicky, and you can rock or walk to help).
The food itself could be doing it; if you're using formula, you may want to try switching brands/types and see if that does anything. If you're nursing, your baby could have an allergy or intolerance to something you're eating; start keeping a log of what you eat, and after you get a good handle on your basics, try eliminating something for two weeks or so, then add it back in and keep track of any changes with your baby (keep track of everything and keep your pediatrician up to speed). It could be more than one, so if you do find something that changes things, write it down, but don't just stop. Keep in mind kids (and adults) grow into and out of allergies all the time, so if you do find something, they may not be stuck with it forever.
Or it could just be colic, which sucks but can be worked around. If there was no response to your switching things around, you're probably just going to have to consult your pediatrician because they know your baby and your history and can best recommend a treatment plan. You'll figure it out, and this stage won't last forever ;)
P.S. When I say "all the way" in regards to burping, I mean you should give about the same amount of time to burping as you did to feeding, the gas can get pretty far down with all the milk they gulp ;) P.P.S. I alternate rubbing and patting, it works better and helps break up the monotony of the same feeling. Just make sure you aren't doing it too hard, pain will cause tensing and that doesn't let the gas escape, aside from hurting your baby. Good luck! Okay I'm done :D