Good question OP.
As an experienced suicide expert I think I can help you out with this.
Having tried over 30 different suicide methods in my life (including hanging, cutting and self-immolation) I believe I know the best method out there.
First though I will warn you about the methods that will either A) not work or B) be overly painful.
Cutting is shit. Even if you cut vertically there is a good chance you'll miss the vein, and it's a slow, fairly uncomfortable death. I tried cutting in 1985 and I ended up spending 5 excruciating hours in the ER getting stitched up–definitely not worth it.
Hanging is another method that doesn't have too much success. I tried hanging when I was 12 and I just broke the branch–god it was embarrassing.
Jumping is usually a winner but without something to lessen the fear you'll likely chicken out at the last minute.
What really worked was the following:
I went up to the top of a building with a gun, a cyanide pill, and a huge flask of booze. First I started drinking to develop the courage necessary to take the "leap of faith." Then I ate the cyanide pill–this was intended to give me a second death option in case the gun and the fall both somehow didn't work. Then I sat on the ledge of the building with my back facing the street, and shot myself. Within seconds I was dead–before I hit the ground. This happened 5 years ago and I've never come back to life since. Naturally I recommend this method to everyone.