What you're talking about is called suicidal ideation:
http://en.wikipedia.org/wiki/Suicidal_ideation. (Google those keywords to learn more.)
I have dealt with this issue for 20 years. The first 10 years, I thought I was going to die. But I've learned to lower my suicidal ideation levels tremendously by trial and error.
It was reassuring for me to learn from a psychologist friend that (A) suicidal ideation is the "lowest rung on the ladder of risk", so to speak, in terms of the risk of actually killing yourself. The next rungs on the ladder are: (B) deciding to kill yourself, (C) deciding when to kill yourself, and (D) deciding how to kill yourself. With that said, if you go up a rung, you're in trouble and need to escalate your remedies.
In my experience, if you are sure you are not capable of committing suicide and/or do not want to, it's possible to live a long time with suicidal ideation, although it sucks.
Here are some tips:
* Stop drinking if you lose control of yourself while drunk, especially if you're a sad drunk. Or at least limit the number of drinks you consume.
* Suicidal ideation is a symptom of depression, which is an mechanism that evolved to tell us that our body/mind is thinking: "I don't like something about your life and you need to change it." Focus on changing those somethings.
* You are allowed to have "bad thoughts" like "I am so depressed". However, you cannot allow yourself to have "bad thoughts about bad thoughts" or what I call "meta thoughts". In other words, you can't think "I am so depressed that I'm still depressed." Meta thoughts lead to bad thought spirals which increases suicidal ideation.
* Exercise does not ameliorate this condition for me, but it may for you, try it?
* Reduce the amount of stress in your life. This definitely contributes to depression. But really, you need to figure out why your body/mind is rebelling against you. If you're trapped in a bad job/relationship, you need to fix that.
* Watch this video to learn about the three levels of happiness: http://blog.sokanu.com/building-a-happiness-framework-in-you...
* Like me, you probably have a very low positive affect (don't smile a lot naturally, aren't bubbly/happy). Focus on spending as much time in Flow (the second level) as possible: http://www.youtube.com/watch?v=fXIeFJCqsPs
Good luck!