Range checks using a switch statement

As always in C++, favour standard library algorithms. In this case you want to do a range lookup. This is easy with an ordered sequence of boundaries:

double const boundaries[] = { 18.5, 25, 30, 35 };

switch (upper_bound(begin(boundaries), end(boundaries), BMI) - boundaries) {
    case 0: cout << "You are underweight "       << endl; break;
    case 1: cout << "You are normal"             << endl; break;
    case 2: cout << "You are overweight"         << endl; break;
    case 3: cout << "You are obese"              << endl; break;
    case 4: cout << "You are gravely overweight" << endl; break;
};

Actually, I suggest you

• consider not using a switch (see BONUS section below)
• make that a function instead of printing directly
• drop using namespace std (see Why is “using namespace std” considered bad practice?)

See a live demo on Coliru

#include <iostream>
#include <algorithm>

const char* bmi_classification(double bmi) {
    static double const boundaries[] = { 18.5, 25, 30, 35 };

    double const* lookup = std::upper_bound(std::begin(boundaries), std::end(boundaries), bmi);
    switch (lookup - std::begin(boundaries)) {
        case 0: return "underweight";
        case 1: return "normal";
        case 2: return "overweight";
        case 3: return "obese";
        case 4: return "gravely overweight";
    }
    throw std::logic_error("bmi_classification");
}

int main() {
    for (double BMI : { 0.0, 18.4999, 18.5, 24.0, 25.0, 29.0, 30.0, 34.0, 35.0, 999999.0 }) {
        std::cout << "BMI: " << BMI << " You are " << bmi_classification(BMI) << "\n";
    }
}

Prints

BMI: 0 You are underweight
BMI: 18.4999 You are underweight
BMI: 18.5 You are normal
BMI: 24 You are normal
BMI: 25 You are overweight
BMI: 29 You are overweight
BMI: 30 You are obese
BMI: 34 You are obese
BMI: 35 You are gravely overweight
BMI: 999999 You are gravely overweight

BONUS

You can be more elegant without the requirement to use switch:

Live On Coliru

const char* bmi_classification(double bmi) {
    constexpr int N = 5;
    static constexpr std::array<char const*, N> classifications {
        { "underweight", "normal", "overweight", "obese", "gravely overweight" }};
    static constexpr std::array<double, N-1> ubounds {
        { 18.5, 25, 30, 35 }};

    auto lookup = std::upper_bound(std::begin(ubounds), std::end(ubounds), bmi);
    return classifications.at(lookup - std::begin(ubounds));
}