As with most oddly shaped countries in Africa, it's because of the way the Europeans went about nicking it- in this case, how the British nicked it from the French, who had in turn already nicked it from the people living there in the first place. Apparently the length of the country is the distance a British navy warship could get up the river Gambia, and the width is the distance the ship could fire a cannon. I was initially sceptical when I heard this, but Wikipedia confirms it so it must be true.
