We have never had suicidal thoughts, but we can still understand why some think that way. What we have done, however, is been out to search for people who have had such thoughts and have had the intention of taking their lives. One one such Search And Rescue (SAR) op, we who searched got there too late and the person had successfully committed suicide. 

It is always unfortunate when someone does achieve such, but for some, it may feel like the right decision. In some cases, it might also be better (say if they live in constant pain and there is no cure for whatever causes that pain), but going out to commit suicide is generally not the best option. 
[b]Firstly:[/b] if you leave home with such an intent, you will eventually be reported missing. When that happens, it will trigger a SAR operation. the SAR teams will then proceed to search until they, or someone else, finds you, dead or alive. While it may seem like you're not costing anyone anything, a SAR Op is not a cheap affair. It is very expensive for society and the authorities.
[b]Secondly:[/b] How would you feel if the one to find you after you committed suicide was a child or someone else not trained (Or prepared) to handle such (if you can say that anyone is trained to handle it)? Would that make you feel good prior to death? (we're not going into the philosophical bits on feelings post-mortem)