While no in depth studies have been undertaken into the phenomenon of suicide in dreams there are certain theories, that derive from different schools of dream interpretation. It seems that dreams involving suicide are more likely to take place when a person is going through a period of great change.
Suicide in dreams is not necessarily a negative sign, although it may reflect the daytime thoughts of the dreamer. It can imply that the dreamer is casting away their old life, and with it bad habits or addictions. Killing the old personality could be a sign that those bad elements really have "died" and will not return.
Experiences of suicide in
lucid dreams vary considerably. Some people claim that they cannot do it, and their subconscious intervenes to prevent their death. Other
lucid dreamers feel themselves being hurt then wake up, and others still just blank out and wake up.
Suicide in dreams seems to be about the limit of my lucid dreaming ability. Sometimes, when I'm in a bad sensation in a dream I just get the feeling that I can get out of the situation by doing something obviously self-destructive. If I do this everything blacks out at the moment of death I just black out, and then twitch awake. The strange thing is that I don't know I'm in a dream when I do this, but I'm certain that my actions arn't going to cause my permanent death.
The only problem that I can see with this is that if I feel that I'm in a dreamlike state during my real life I might end up doing something that I would regret doing later.
Sources
http://alcoholism.about.com/library/blstory19.htm
http://1001reves.free.fr/tplbook.php3?dream=forscienceus.html
http://www.jeremytaylor.com/death.htm
http://www.sawka.com/spiritwatch/ajournal.htm
http://www.dreamdoctor.com/dreamboard/messages/25163.html
http://pub76.ezboard.com/fdeshainfiresidedreams.showMessage?topicID=219.topic