Having suicidal thoughts? Don't worry, everyone gets them. It's whether or not you choose to act on those thoughts that makes you a strong person.

[edit] Steps

Call someone if you are seriously considering ending your life.
If the first thing you think of is that you want to make someone in your life feel guilty for not treating you the way you wanted to be treated or giving you enough attention, then you don't really want to die - you want love and attention. Find some other way to get it. You won't be around to see how they grieve or act after you're dead. Killing yourself isn't the way to get love & attention from others.
Think about the effects of killing yourself on people you care about. For example, if you are a parent, consider what would happen to your children. This can be one of the most effective ways of discouraging yourself from suicide.
Suicide is a permanent solution to a temporary problem. Procrastination can help. Give things a chance to improve. Live day-to-day, if life doesn't get better, you can always kill yourself later. (It sounds horrible, but if you need some way to get through this moment.. thinking this way works!)
Put away the implements if you have chosen a method for your demise. Put those items somewhere out of your immediate reach. Somewhere that you have to make an extra effort to go get them. When you are hurting, impulses are strong - having to go out of your way to take action on those impulses will give you time to think and resist them.
Look for the things that are good in life. (Start with the littlest things, perhaps a pet, a sunrise or sunset, something you find comfort in doing or seeing.) Grab onto this thing and cherish it. Make a list.
Find someone to confide in. A friend, a parent, a counselor or teacher. Ask for help and allow them to help you.
Remember to eat regularly and healthy food. Avoid sugar, which can contribute to mood swings. If you go too long without eating, you will get low blood sugar which worsens depression.
Engage in some vigorous exercise, such as jogging or calisthenics. Exercise increases the dopamine levels in the brain, and is also a very good way to take your attention off of emotional pain by a healthy dose of some constructive physical pain.

[edit] Tips

Procrastinate! All things change over time, give life some time to improve.
See a counselor or psychologist, find one you like a lot and they can help you cope with your feelings and whatever needs some fixing in your life.
Eat something. People often forget to eat when suicidal and depressed, but it will help to have something, esp. with protein and fat. Sugar makes things worse by causing mood swings. Low blood sugar will just make your depression worse and make it harder to cope.

[edit] Warnings

If you are suicidal, call someone! It is an emergency and you should treat it as such. Call 1-800-SUICIDE or look up another suicide hot line, even 911 they will help you calm down and give you the assistance you need. You can make that one call, it could be the most important call of your life. It could be the last call of your life.
IF you call a suicide hot line, or talk to a therapist, and tell them that you have plans to kill yourself, they have grounds to commit you involuntarily to a mental hospital. If you're talking to a hot line, they will not always tell you this, and sometimes emergency vehicles will arrive while you are on the phone. Be aware of this.
Seek help from whoever you feel comfortable talking with.
Avoid people that will bring you down further. Don't hang out with losers and lowlifes just because it's easy. You know that they're trouble, but you may think that you can't do any better and that they are the only type of people you can make friends with. You can do better -- find people who motivate you! Once you are motivated, help the "losers and lowlifes"