How do I create a Dictionary that holds different types in C#

Well, you could use Dictionary<string, dynamic> in C# 4 / .NET 4 - but other than that, you can't do it with exactly the code shown because there's no type which is implicitly convertible to int, string and double. (You could write your own one, but you'd have to list each type separately.)

You could use Dictionary<string, object> but then you'd need to cast the results:

int a = (int) Storage.Get("age");
string b = (string) Storage.Get("name");
double c = (double) Storage.Get("bmi");

Alternatively, you could make the Get method generic:

int a = Storage.Get<int>("age");
// etc

You could declare a Dictionary containing just the type object and then cast your results; .e.g.

Dictionary<string, object> storage = new Dictionary<string,object>();

storage.Add("age", 12);
storage.Add("name", "test");
storage.Add("bmi", 24.1);

int a = (int)storage["age"];
string b = (string)storage["name"];
double c = (double)storage["bmi"];

However, this isn't that elegant. If you know you are always going to be storing age, name, bmi I would create an object to encapsulate those and store that instead. E.g.

public class PersonInfo
{
    public int Age { get; set; }
    public string Name { get; set; }
    public double Bmi { get; set; }
}

And then use that insead of the Dictionary... e.g.

PersonInfo person1 = new PersonInfo { Name = "test", Age = 32, Bmi = 25.01 };

int age = person1.Age;

etc.

Why not use:

Dictionary<string, object>

You can create an extension method to cast them when you get them:

public static class DictionaryExcetions
{
    public static T Get<T>(this Dictionary<string, object> instance, string name)
    {
        return (T)instance[name];
    }

}

var age = dictionary.Get<int>("age");