Ric O'Barry, former trainer of the dolphins used for the 'Flipper' TV show (now animal rights activist) tells a story in the documentary 'The Cove' how one of the dolphins swam up to him one day, looked him in the eye, took a last breath and then sank to the bottom of the tank and died [1]. Given that dolphins have to make a conscious choice for every breath they take gives some indication for a conscious decision for suicide.

[1] https://web.archive.org/web/20110926051048/https://blog.sfga...