I have thought about this subject a lot over the years, and I believe their are many ingredients in the Witness life that contribute to depression and suicide, which I think makes the incidence much higer than in the population at large. Some of these have been mentioned before and some have provided personal examples. Nontheless, I would like to present my views, though somewhat redundant.
First of all, it is a religion of works, not faith. The works are very clear cut and measureble. There are two major problems here. First of all, whatever works you do, you can and alway should do more. If you put in 10 hours in service, you should strive for 12. When you reach twelve then you should strive for 14, and on and on and on. You are preached to so much on this issure of further striving that after awhile, not one has to push you anymore. You push yourself. As a result, no matter how much you do, you have this nagging feeling that you have not done enough. You are unworthy, and you will not survive Armageddon. If you asked JWs, what they really thought in their heart, I would bet that most of them think that they will not survive Armageddon, because they are unworthy and they did not do enough. Obviously, this will make a person depressed.
This problem is further exaserbated by the fact that there is only one acceptable form of "works", and that is the door to door work. The fact is, that many people either due to temperment or talent are not very good at it. If you are shy person and are not very good or comfortable in the art of persuasian, then the work is a burden and you will have difficulty making your numbers and you will be judged as spiritually weak. Another source of depression.
Now, let us suppose you are weak at the Witness work, but have many other strengths. Can you use these other talents to show your sincerity and zealousness. Of course not. It is because, you see, showing any talent in any other area of human enveavor draws to much attention to yourself. You are showing pride, and you need to be humbled. Can this be a source of depression. I certainly think so.
Do you think that you might get depressed years later when you realized that you could make useful contributions, but you didn't because you were told not to. That can be depressing to think about.
Then of course, there are all the things you can't do. I've seen lists of these before, but LDH's list on this thread is the most complete list I have seen. I will restrict myself to the descussion of celebrations. In the real world people celebrate birthdays and holiday because it brings them together, makes them feel special, renews them and gives them joy. Since Witness are not supposed to feel special, this source of renewal and joy is cut off from them. Could this lack of the sources of renewal, when one is feeling "down", contribute to the development of chronic depression and feeling of isolation. No doubt.
With all of these factors working against you, you are made to feel worse because you are told from the platform and in print that you should be happy. If you are not, there is something is wrong with you. Now, you look around at your brothers and sisters and they are all smiling, even though they might be dying inside. This facade you see further reinforces your feeling of inadequacy and worthlessness. They are happy and I am not. There is something wrong with me. This is bound to make you feel worse. Is there anyone you can talk to about this? Of course not, you can't share your weakness with others. They will look down on you, and furthermore you don't want to run the risk of stumbling them over your spiritual weakness. Are you now further entrenched in your depression? Yes you are, and there doesn't seem to be any way out. Why live in misery, when you are going to die soon at Armageddon anyway. Being asleep in death does not seem like a bad alternative.