you

I thought this poem was good, especially for a first post. It was quite realistic and the meaning was quite clear.

One thing though:

And stuck it close you
Now I only feel blue

This line sounds a little awkward and I had to read it again to understand what you meant by 'And stuck it close you'. Close doesn't sound quite right.

But, I loved it =). Keep writing!

nice repitition in opening and closing rhyme

is the second stanza missing 2 lines?

I always wanted you

As I often still do

try 'I've' instead of 'I'?

Hanging onto something

That turns out to be nothing

'turns out' sounds pretty out of place

You always treat me kind

When you are in a bind

But as soon as life is Gay

You throw me away

^ this is the stanza i'm talking about

I will be there again

I can't learn from where I've been

try 'I'll'
line 12 doesn't need I.

To only be shot down

And stomped into the ground

Hurt my heart once more

I'll show you the door

try 'Only to be'
lines 15,16 contradict 11,12

And stuck it close you

Now I only feel blue

try 'on to' or 'on' instead of 'close' - emphasizes the immensity.
last line sounds a bit awkward.

overall, good poem (:
my comments are all just suggestions.