I used to think falling from heights was the best method. It would probably be the best one if you could guarantee a headfirst fall, but unfortunately, your survival instincts will kick in big time and you'll almost surely fall on your legs, even if you get super drunk/high/sedated before jumping.
Another problem with this method is that it provides little control. You can't expect to aim exactly where you want to fall, you'll 100% be desperate and struggling while falling if you even manage to jump (most people who tried couldn't even jump, survival instincts kick in too strongly) and the chances of ending up hitting a tree, car, awning or just any surface that is softer and will absorb the impact better than concrete is very significant.
There have been people who fell from fucking planes and survived (all fucked up, of course). Not even on snow or something, on cars and stuff. Look it up. I wouldn't try this method. Without firearms, hanging/exit bag, with all of their flaws, are the best we have.
I have planned it but ended up not trying. But according to my research, the problem is that the time that goes on between you passing out and you really dying is significantly longer than what most people think. Like 10+ minutes. You'll fall unconscious so there's nothing you can do anymore, just hope nothing goes wrong and no one runs into you, or else, like I said, you'll survive with permanent brain damage.