Here's why it's a very bad idea to have a gun in your home if you have a family member suffering from depression. Putting a gun to your head takes only seconds, and there's only a microscopic chance the person will survive.
Yes, there are a lot of other methods of suicide: hanging, jumping off a high building, pills, slitting your wrists. The difference is that all of these take time. The suicidal impluse can be urgent for a few seconds in an average depressive, and with a gun, a few seconds is all it takes. With all the other methods, the depressive has to find materials, and those methods take longer giving him/her time to rethink, time for someone to arrive to help, and a lot longer to work with a lot more margin for error. In this case, error equals survival.
In many cases, depression has to bottom out before the sufferer can come back up from the episode. The bottom of a depressive episode is a horrible place to be. You feel utterly worthless and completely without hope. You can't think properly, and to some people suicide looks like a way to stop the pain. Sadly, if they can only hang on a bit longer it'll start to clear. Someone once called suicide a permanent solution to a temporary problem. That's clever and basically true, unless you're the person going through the depressive episode. When you're in it, you can't believe it's temporary.