Can't recall ever having tried to kill myself in an LD, or in a non-LD for that matter. I have done things in LDs that would have likely killed me IWL: jumping off buildings or smashing into walls at high speed, for example. But my intention was always something other than killing myself, such as flying or phasing through a wall. Since nothing you do in an LD is at all likely to actually kill you, I don't think there's any significant danger in trying to kill yourself during one. It seems like just another way of experimenting with the dream environment to see what happens. Trying to kill yourself in a non-lucid dream, OTOH, is probably something to worry about. Not to mention doing so IWL.