No matter how depressed or ill you are, the process of going from living to not living is not a comfortable one. Wishing you were kaput isn't the same as having the resolve to do something about it. Plenty of people wish to be thin, but they don't wish to go through the pain of diet and exercise. Thus, they remain plump. Getting slim is rough, and I'd say the evidence shows that the desire for self-preservation (staying alive) trumps even the desire to be slim (though listening to the song "Stayin' Alive" will make killing yourself much easier).
To off yourself, you have to first overcome the psychological hurdle, which means coming to grips with ceasing to exist. Much harder than ABC, 123, or falling off a log. Yes, the universe existed for billions of years before you came along, but you had the good fortune of not being alive to know that you didn't exist. Still with me? Great. Once you are alive and conscious of it, the tendency is to try to keep living no matter what. Life has always been brutal, and not so long ago, it was a helluva lot more brutal than it is today; much more disease, much less food, much more death all around you meaning much more grief. Yet suicide remained uncommon. Obviously, the self-preservation instinct is almost indomitable, so it takes a humongous amount of will to push past it.
Assuming you can put all that aside long to enough plan an exit, you then have to face the disagreeable nuts and bolts of suicide. Talk about irksome. You have to picture yourself with your neck in the noose, hopping off the chair and being jerkily choked to death (Ask anyone who's been jerkily strangled with a rope if they enjoyed it. Rarely will they say "I can take it or leave it."). And you have to picture the potential horror of hanging there and suddenly wishing you could get your legs back to the chair. Imagine trying and failing...it is enough to turn a goth chick into a cheerleader.
Jumping off a building...also a tall order. You have to overcome the mental image of a long, agonizing freefall (picture a rollercoaster made in the Soviet Union), followed by the possibility of not immediately dying upon smacking the pavement. Jumping off the high dive scares most people. Imagine jumping from a much greater height, only in this scenario you're landing on sidewalk rather than water, and in doing so you won't be impressing any hot chicks who might sleep with you later. Advantage: high dive.
Even something which is presumed to be painless (or "instant") like a gunshot to the head requires actually putting gun to temple and having to swallow your steadfast self-preservation instinct. To do so means trying to comprehend oblivion, which is pretty much beyond comprehension. If you try to bypass this horrible inner debate by rushing the gun to your head, you may misfire and merely end up with an eyebrow trim.
Knowing how hardwired we are to try to survive at all costs, it is quite simplistic to just say, "Hey man, if you're unhappy, why don't you kill yourself then?" And considering how grisly these various suicide scenarios are, it is no wonder that most people take the easy way out (i.e., continue to live).
Don't kill yourself until you've followed me on Twitter: https://twitter.com/greatMikePayne