This worked for me for a Ubuntu Server 14.04 guest VM (no GUI):

Edit: also works with Ubuntu Server 15.04

1) Install dkms. From the guest run:

sudo apt-get install dkms

2) From the VirtualBox VM window menu select: Devices --> Insert Guest Additions CD image...

3) Use blkid to identify the CD-ROM device. From the guest run:

sudo blkid

One of the lines in the output should look like this:

/dev/sr0: LABEL="VBOXADDITIONS_4.3.16_95972" TYPE="iso9660"

The first part (/dev/sr0) is the name of the CD-ROM device.

4) Mount the CD (replace /dev/sr0 by the device name found above):

sudo mount /dev/sr0 /media/cdrom/

5) Run the Guest Additions installer:

sudo /media/cdrom/VBoxLinuxAdditions.run

6) Reboot the guest.