There's a lot of good advice in this thread, but I'd also like to warn you not to react too strongly in the event he's just venting. I vented to a friend about how much I wanted to kill myself (I hadn't made any actual plans yet; I told her I wanted to die because I wanted her to get an idea of the agony I was feeling, not because I wanted her to freak out and "save" me from suicide) and about how I self-harmed, etc. She freaked out and told my parents, who promptly kidnapped me and took me to the ER. "Kidnapped" is not hyperbole; they seriously child-locked me in the car and drove me to the hospital and held me down and forced me in. This intervention was largely unanticipated and hasn't helped me in the slightest.

I think one of the best things you can do is just be there for him. Listen to what he has to say. Listen, try to understand his feelings. Don't try to change his mind, he'll think you don't understand. Just try to feel along side him. Whenever I "came out" to a friend and told them I was suicidal, they'd always start crying and telling me how much I meant to them, and that is not at all what I wanted. I didn't want to know how great they think I was, because in my mind I was horrible. The more they praised me, the more I felt they didn't understand.

And that's one of the biggest problems with depression and suicide. People who don't have a good understanding of what it is and how to react to it tend to react in ways that are in no way beneficial to the suicidal person. That has been my experience, anyhow. No one understands, and that makes me feel so, so alone. I feel so alone.

Don't make him feel alone. Listen to what he has to say and treat it with validity. Don't brush off his feelings and tell him how to feel. Ask how you can help, what you can do. If he says there's nothing you can do, then tell him that you love him and that you will go on loving him even if he fails at everything. Let him know you'll be there for him and that you understand how he feels, and that you know it must be horrible.

Be there for him, don't let him feel alone.