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Could be Birdman. (The live-action Michael Keaton one, not the other one
. I've confirmed that the line "give the people what they want" appears in the film... and the main character does shoot himself in the head on stage near the end.
That actually sounds like Tomorrow Never Dies, the second Brosnan James Bond film.
It's the Pre-Mortem One-Liner he uses before killing the film's Big Bad.
Edited by ginsengaddict "Get me a gun, I'm a soldier; but put me in that suit and I'm a superhero." - Gunnery Sgt Roberta "Bobbie" Draper MMC
In the book "The Fall of Hyperion", in order to save humanity the president orders the destruction of an instant-travel network that connects all inhabited worlds; this leads to massive and violent protests from the people (who did not know the reasons) who are now effectively stranded on various worlds. She then leaves the safety of her headquarters and goes out into a violent crowd so they can have their revenge.
Sanity is for the weak
Don't remember what medium. All I remember is an important character being told to "give the people what they want", in relation to pleasing some sort of audience (I don't remember if someone said it to them, or if they said it to themselves, or maybe they were prompted to do it - think commands in text adventures or Problem Sleuth esque comics) and the character promptly attempts to either commit suicide or kill someone else. Don't remember if the attempt succeeded. The character may have been standing on a stage of some sort while doing this. Supposedly this was a memorable part of the work.
Edited by iwantedtoaddsomething