I remember pulling a 30 odd hours coding run once on a project with a very tight deadline, and the thought crossed my mind that I could just die instead, and my whole body just relaxed so much at the thought it really freaked me out... gave me the impression you can run out of "will" the way you can run out of energy trying to swim to shore, and at some point what keeps you going may just dry up, so it made me want to be sure I never got there.
I've had random impulse thoughts, mostly under stressful situations like long periods of highly focused driving, it crosses my mind I can just turn the wheel and completely, irrevocably and radically change the sequence of events that are about to happen, but I think that is more a macabre fascination with the frailty of human existence and not about a desire to actually die.
When I was younger I had the idea if I ever decided to kill myself, I'd join the military or a group of monks or something - basically if I didn't want this life/body/ego deal I'd at least try to recycle it in some decent manner, so I guess I thought about it a little bit.
But really, it just doesn't come up. If I was crippled, or partially brain damaged, I may consider it. I honestly don't know how I'd react to that, but as I am now, I really don't ever think about it.