In the middle of the first century, the Roman philosopher Seneca the Younger reported that a Germanic gladiator died by suicide with a sponge on a stick. According to Seneca, the gladiator hid himself in the latrine of an amphitheatre and pushed the wooden stick deep into his throat.
Gladiator owners often had physicians on-hand, so you'd have to find a private place to kill yourself to guarantee it would work - and they probably wouldn't let you take weapons wherever you wanted. Poor sod.