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Bullets dont create holes. Once inside, they spin and/or deform, causing a lot more damage than a bullet sized hole. Apparently, when your brain is fucked this much, it is over. Of course it doesnt always work perfectly but more often than not, it does. It is by far the most effective way of killing yourself.

The reason death sentences arent done using guns because aiming and shooting at people is hard and has psychological repercussions for the shooters. Even when executions were done by bullet, you had a lot of shooters so that noone had to bare the killing responsibility.