Towards the end of Survival of the Fittest V1, two characters are involved in a car chase across the island. At the culmination of this chase, one has been killed, and the other - Jeremy Torres has crashed his car into the side of a warehouse, which at the time, is a dangerzone. Rather than allowing himself to be killed up by his collar, the barely living character shoots himself as a final act of defiance. His car then blows up, igniting chemicals in the warehouse and resulting in a massive explosion.
And near the end of V3, Quincy Archer takes one look at his sword, remembers that most of the remaining students have guns now, and promptly slits his own throat.
In There Will Be Brawl, Bowser chose to blow himself up with a Bob-Omb and take out as many Game and Watches as possible rather than be killed and mutilated like the rest of the victims.
In the fifth episode of Dragon Age: Warden's Fall, Cyril who was working for the Mother and had led numerous refugees to their deaths opts to leap off a roof rather than be interrogated by Kristoff, the main character. His terror at meeting one of The Mother's servants in an earlier episode suggests he was afraid of what the Mother would do to him.
MSF High Forum: Apostate's also got a healthy dose of this from her Start of Darkness.
Believe it or not, in the French MP3 saga Les Aventuriers du Survivaure, the Captain actually says "Better to die than to die!". Lampshaded would be an understatement: he can Never Live It Down. Actually, the Only Sane Man lampshades it just in time to prevent the captain from saying it again.
Almost played straight, then averted completely in Shadowhunter Peril: When Umbra's physical form is destroyed by Lilith, he is sent back to Hell in the presence of all his demon brothers and sister, who, unlike him, are completely evil. Asmodeus, Umbra's eldest half-brother and the King of Hell, offers Umbra the chance to give them information about the Resistance before Umbra gets his punishment (which is likely to be a long, torturous death). Umbra responds with this:
"God? You think I'm doing this for God? I don't even know if God exists, but if He does... ever since He can remember, people have died in His good name. Long before that September. Long before hijacking planes. He's lost the will, He can't decide. He doesn't know who's right or wrong, but there's one thing that He's sure of: This has been going on too long. I do this for my friends. And yes, I HAVE FRIENDS. Good people, who were thrust into this mortal conflict you demons have interfered with. I do this for them. And I will not betray my friends."
He ends up being tortured by demons, only to be rescued by Arthur, a fallen angel.
The Nostalgia Critic is very suicidal in To Boldly Flee, but refuses to hand himself over to be tortured and killed by Turrell and Zod, preferring instead to drive into the Plot Hole and be at peace that way. Seeing how pathetic Turrell is, it's not hard to see where he's coming from.