The code is missing comma(,) after the variables @Age and @Gender.
Another problem with the code is, you cannot specify column width to data types int and bigint The code should be
CREATE PROCEDURE dbo.InsertStudentsData
@Name varchar(35),
@City char(15),
@State char(15),
@Phone bigint,
@Salary int,
@Age Int,
@Gender char(20),
@IdentitY int OUTPUT
AS
BEGIN
INSERT Students (Name,City,[State],Phone,Salary,Age,Gender)
VALUES
(@Name,@City,@State,@Phone,@Salary,@Age,@Gender)
END
SELECT @Identity = SCOPE_IDENTITY();
RETURN @Identity