I've made it a personal goal to kill myself on the first turn with every character. I've done it with Knight(by riding the pony) and Wizard(by shooting myself). How can I do it with the other ones?
The easiest way, in Vanilla nethack is to pray. There is a 1 in 3 chance that your god will be angry enough to steal a point of wisdom, and a level.
This does not work on nethack.alt.org, and may or may not work in other implementations. Ignoring prayer, the following strategies may be of use.
A monk can read starting scrolls until it is genocide or earth, a ranger can attempt to shoot itself with a poisoned arrow (chaotic only). A rogue can quaff their starting potion of poison. A chaotic priest could possibly kill himself with quaffed holy water.
The remaining characters tend to have a fair amount of hit points, with the exception of tourists, who could possibly be killed by a luckily tossed upwards dart. They will need the assistance of the environment. Perhaps a cross-aligned randomly generated artifact? Maybe a lucky trap?
If your starting position is next to a wall, boulder, loadstone, etc, you might kill yourself by kicking it.