Here are two more that are a bit older, but still pretty new.

Guy kills himself in the interigation room, after charges of shooting and wounding a police officer.
http://www.theync.com/suicide2video.htm

Guy kills himself after police sorround his hotel room after robbing a bank. Locks himself in the bathroom while his gf, mom and friend are trying to talk to him over the phone.
http://www.newsfilter.org/videos/index.php?id=20586