I've been through depression and suicidal thoughts when I was younger, and I can tell you from experience, life gets way better. You just need to focus on what makes you happy. For me, it was focusing on my talents, playing total miner and getting really good at it, making a few really bad videos about it, focusing on my art, and eventually taking up tattooing. Some days, I'm sure everyone feels like it would be easier to let go, but eventually, those thoughts all pass, and you find that there's a lot more you want to live for, rather than taking the quick and easy way out.
And just a side note, the jumping isn't a great way, since people have lived from jumping from a plane without a parachute and became paralyzed. Don't jump.