From Seed:
Conventional wisdom says that gifted artists like Vincent van Gogh and Sylvia Plath had something in their constitution that made them much more susceptible to depression, and thus, to suicide. One of the smartest people I ever knew, a former high school classmate who was also a world-class rower, took his own life as pressures for perfection at his Ivy-League university became too much for him. Such stories, painful and tragic, lend credence to the belief that smart people are more likely to commit suicide. But do we remember these stories because they are commonplace, or are they notable only because they are also actually rare?
Because of the relative rarity of suicide, researching its causes is problematic. Most studies therefore investigate attempted suicide, which is much more common. Since attempted suicides are very strongly correlated with actual suicides, they can serve as a reasonable proxy measurement.
Two studies by Martin Voracek seem to uphold the notion that more intelligent people are more likely to commit suicide.
More here.