I'm the person above, to clarify some things:
I was suicidal prior to leaving the religion. I didn't leave until age 29, but I have been suicidal since age 16. Leaving the religion however did worsen my depression. This is because my friends and family shunned me, I no longer knew where to turn for "answers" (more on that below). Ultimately I was depressed that I had dedicated 29 years of my life to a lie.
I wanted to be so many things in life and I am a person who actually has the ability to achieve those things. My religion robbed me of those opportunities. First by suggesting college was a bad thing in the 1970s and thus preventing my father from attending, second by pointing out the bad in every possible career or lifestyle choice that fails to conform to the Jehovah's Witness standard.
It would be a very foolish to think the source of my depression is caused by the loss of "Jehovah" (the god of the Witnesses, thus the name). Jehovah is nothing more than a delusion. Jehovah, who I knew as the one true God, creator of everything – a being that I called "father" in my head; a creature that supposedly loved his son so much that he killed him for the sake of human lives (I can't help but wonder if this is why Witness parents can write their children off so easily) is simply an adult imaginary friend.
This imaginary friend is spoken to in in prayer. Any faithful Witness says at least four prayers a day (one before each meal, and one before bed). That adds up to 28 prayers a week. Unless you count the group prayers said at the weekly meetings (church), then you're looking at 34 prayers a week. Oh and let's not forget personal study (preparation for the meetings, three times a week) and family study (once a week). Now you're up to 38 prayers. Oh wait, I forgot about field service (preaching door to door) at least twice a week (more if you're a full time preacher). That's 40 prayers a week. My father once gave a talk at one of our meetings and said he prayed on the ride to and from work everyday, and we were also told to say silent prayers to ask for courage when preaching. I would say praying 50~ times a week is pretty common for a faithful Witness. And these are very personal prayers – like talking to a friend, but in your mind (unless it's a group prayer). Nothing is by route, save for the sign off "in Jesus name we pray, amen", but even then people get creative – "in your son's name whom we all deeply love, amen" etc.
A typical group prayer is something like this (imagine you're at a Kingdom Hall (church) on a Sunday and the study is about Christ's death:
"Jehovah our God in the heavens, we approach you this fine Sunday morning, the Sun, though hot reminds us of your glory and infinite power. Jehovah you truly are worthy of the praise and honor that your son so lovingly died for, and as we gather this morning to talk about his death we ask that you give us an appropriate portion of your Holy Spirit so that we may fully digest the spiritual banquet that you have laid before us. Jehovah please continue to watch over the faithful and discreet slave class so that they may in turn continue to provide us with the proper food at the proper time. Also we ask that you be with the Smith family, we know they are going through so much and we ask that you help them cope with their loss. In Jesus name we pray, amen"
That would be considered an appropriate prayer in terms of length, subject matter, and conclusion and the fact that it was made up on the cuff as opposed to by rote.
Individual prayers are very similar, but more personal. You're supposed to pray about any decisions you have to make, pour your heart out, and throw your burdens on Jehovah.
I did this for 29 years. I'm pretty sure the waves of depression I get about the religion are something akin nausea, but in my brain. I don't miss god, I despise the very notion that one would exist. I don't miss religion, I despise it for essentially driving me to the brink of insanity when I admitted there is no god to myself.
Imagine praying like that for 29 years, not thinking you would die, spending countless hours preaching from door to door, studying books filled with lies and misquotes, having your mind filled with an alternate history of reality made up by groups of men in ties.
Witnesses are mind raped and very few people are equipped to deal with that sort trauma. I'm pretty certain depression and suicidal tendencies are a natural reaction.
All of that said, I could see how some people would cling to religion and claim it saved them from suicide. Some people need lies to get through life.
Edit:
on "not knowing where to turn for answers" – nearly every question on religion and life in general that you have can be answered by a Witness using Watchtower literature and circular logic. What you should watch, eat, drink, wear, think; how you speak, the friends you choose, when you should date, the types of entertainment to watch, how to deal with -insert religion-, how to deal with -insert objection to core witness belief-; you name it, it can be answered. You aren't really taught to think for yourself when you're raised by a very faithful witness family.