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 result in dying on the first turn, so you will not receive the "Do not pass go. Do not collect 200 zorkmids" message. It may count for your purposes, however.)
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 non-orc only). A rogue can quaff their starting potion of poison. A chaotic priest could possibly kill himself with quaffed holy water. A knight can fail to mount his steed. A wizard can quaff a potion; put on a ring of polymorph; read a scroll of earth, stinking cloud, or genocide; zap themselves with or break a wand; or zap themselves with a spell.
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.
There is a sure fire way to die as every class on your first turn. Simply use the #quit command. Okay, it's not as interesting as the pony and I don't know if quitting actually kills you (I assume it does) but at least you have an answer to your question.