Methane is an alkane. Alkanes are composed of a number of carbons (denoted by the prefix on the chemical name, e.g. meth-ane, eth-ane, prop-ane, but-ane...) which are saturated with hydrogen atoms (the largest number of hydrogens possible are bound to them). Methane has one carbon, which is saturated with 4 hydrogen atoms - this means that the chemical formula is CH4 (where the 4 should be subscript, but I can't work it out in this text field).
The boiling point depends on the strength of the intermolecular forces between each molecule - as the length of the molecule increases, so does the force of attraction between them because there are more points to attract together. Methane has a very short chain length of only 1 carbon, so the intermolecular forces are very weak. Because the forces are weak, very little energy is required to overcome them to allow the substance to become gaseous (gas molecules spread out to fill any space, requiring a negligible strength of intermolecular forces).
Consequently the boiling point of methane is so low that it is found in gaseous form almost all of the time on Earth - however Titan, one of the moons of Saturn, has seas of methane on its surface, because it is so cold there that it is possible for methane gas to condense into liquid.
