I've never been bothered by this question, and whenever I ask other people, I've been confused by their unwillingness to talk about it. I think it's a perfectly fair question.
As for myself, I consider suicide all the time. Not in the way that I'm going to kill myself whenever I have a bad day, but when I do eventually kick the bucket, I would prefer it be by my own hand rather than a slow death by cancer or being knawed to death by squirrels.
The means have always eluded me though. I would love to do it in a way that nobody could figure out. Like having my severed head spinning on a record player while my headless body sat comfortably in a chair (kudos to those who recognize the Douglas Adams' reference). An interesting way to be remembered I think.
"Ask her to wait a moment — I am almost done."
-- Gauss, when told, while working, that his wife was dying.