When I was younger I was fascinated by the mechanics of suicide; what method was more likely to succeed and why. There are websites dedicated to this how-to aspect of things, easily accessed through the appropriate google query.
I have a few layman observations though:
With trains speed matter
Jumping in front of a fast moving train has a very high probability of being successful. Almost everyone who end up in front of the local commuter train, as it's traveling at full speed, die. One day one my way home though, someone jumped in front of the train as it was leaving the station and just gathering speed. There was a loud crunch as her stuff went under the train but the person managed to jump out of the way, perhaps changing her mind.
She got lucky. If you're hit by a slow moving train, a light rail or a subway, you'll almost certainly end up maimed, but alive.
Anything you're planning to do will almost certainly work better if you're alone and you are not expecting company for a long, long time. Some methods of dying take a relatively long time, for example pills or bleeding to death. The former has the additional problem of you getting sick and throwing up, and the second that it's exceedingly painful and difficult to cut deep enough to actually bleed to death. You could try shooting yourself, but you'd need a gun and you could actually miss.
It is my belief that hanging offers the higher success rate. As long as the fixture that you attach the rope to is strong enough to hold you.
However deeply unhappy I have been I have rarely felt that I really wanted to die. Rather it has been a theoretical solution to a very real problem. I think that under those circumstances you're less likely to succeed and more likely to hurt yourself very badly, possibly for life. If you really want to die, pick a method that's likely to succeed, do a little bit of planning, do the right thing and leave your shit in order, make sure no one will be around to stop you (or revive you), and execute (no particular pun intended.)