You're not alone, and you are a valuable person. Wherever you are, there's a number you can call to get immediate support. Here's a list of numbers.
I'm not an expert on this issue, but here are some thoughts I have, and stuff I've heard from other people:
Reach out to the people around you. If you can, talk to people you trust. Tell them how you're feeling. Tell them it's important for you to be able to talk to someone. If you feel isolated, you might be surprised at the amount of people you know who care about your well-being. Your friends' parents, teachers, co-workers, acquaintances, even stangers like me (that's why I'm writing this). It's better to reach out to anyone than no one.
It's a good idea to seek counseling. If you go to school, or you have a workplace, there might be counseling services for you. If not, or if you don't like the services, ask a friend to help you find a trusted counselor. If you can't afford it, there are free clinics you can go to. Search online in your area to find one.
If you're feeling desperate and you don't know where else to go, and you're afraid that you're in immediate danger of hurting yourself, you can go to the hospital or call 911.
If you're struggling with depression, there are things you can do to help yourself out. Read my friend Alex's page on depression for tips on how to deal with depression, both immediately and long-term.
Is someone you know feeling suicidal?
Be supportive, take what they say seriously and let them know you care about them. Ask them specific questions about any plans they have to commit suicide. If they are in immediate danger and you don't know how to stop them, call 911. But sometimes just talking to them will help. You can read this page for more detailed advice.
Take care of yourself. Get support from other people, and talk to people about what you're going through. You may want to get counseling if you feel overwhelmed by the experience. You can call a suicide hotline if you need advice, or you're not sure how serious the situation is. Don't blame yourself if you fail to get through to the person.