Not mine, but hands down best method... http://boards.straightdope.com/sdmb/archive/index.php/t-565697.html

Equipment: A thick, heavy rope measuring precisely 100 meters in length; a piece of high tensile coil measuring precisely 99 meters in length; several tubes of industrial strength glue; one megaphone.

STEP 1: Climb a very, very tall building and don't stop climbing 'til you're actually out on the roof. Barricade the door behind you with whatever you can find and use the megaphone to signal your intentions to the gawping masses below. Don't stop until you've roused a substantial crowd

STEP 2: Find a very, very sturdy object around which to tie your rope (a stone pillar or a steam vent would be perfect for this). Remember, this should be a very thick rope, the kind of rope you might use for mooring a boat, for instance. Tie one end of the rope around this object and secure it with an extremely sturdy knot.

STEP 3: Take your high tensile coil (piano wire might also work well) and similarly affix this to the same object.

STEP 4: Tie the rope around your ankles, and the wire around your neck. Walk to the ledge.

STEP 5: Use the industrial strength glue to firmly affix your hands to either side of your head.

STEP 6: Jump. If all goes according to plan, your head will pop off easier than a Pringle's lid and will remain in your hands as your corpse sprays unmentionable viscera all over the horrified spectators like a Champagne bottle from Hell that's somehow managed to catch it's own cork.

Quick, painless, and absolutely fucking awesome! I'd never commit suicide, but if I had to, that's how I like to think I'd do it. Idea stolen from Doug Stanhope.