If by illegal you mean 'God said you won't get to heaven' then sure. Other then that, what are they going to do to you? Put you in jail?
Assisting in suicide is illegal. There's a difference because at the end of the day it equals murder in the courtroom.
T-nex: It makes them different? Seriously? There is being different and there is being stupid. Kids cutting their wrists barely deep enough to hurt, that's trying to be different. Jumping of a bridge, hitting the water, breaking all your bones, recovering and then telling yourself 'well shit that was a really stupid idea' is being stupid (and insightful).
I'm all for having your life in your own hands. However some people have proven themselves over and over again to be such incompetent idiots that they even screw up a simple thing like suicide because they do it for entirely the wrong reasons without even thinking about it for a minute. You simply don't kill yourself if your cat just died. I know there's someone who did it because I remember reading it at some point. Sure I know everyone has their own motivations and blabla, but on the grander scale of things that's just retarded.