I don't think I would ever try with a gun. I feel like it would be the worst result if I ended up living.
It's so hard to pick.
A gun is not an option for poor ol' Canadian me and cutting myself just seems like a mess that I'd rather not leave someone else to clean up, that'd be horribly rude.
The rope is a nice option, as you said, classic. Train tracks are also rather cool in my mind.
Jumping off a high structure would probably help me with my fear of heights but that wouldn't do me any good afterwards.
In the end I'd probably pick overdose because I think it'd be a great challenge to face, drinking somewhere in the realm of 90-120 cups of coffee.
So what about you OP, what would you pick and why?