The name alone grants it a spot on the insane list. Regardless the show itself isn't that disturbing and isn't even anyway related to suicide. The part of the title that says "Shooting Yourself" actually means filming yourself, like shooting a film. The show is about a fake newsman named Rik Arithmetic who walks around New York City and reports on things happening in the city and talks about conspiracy theories.
When he's staring into the camera talking to the viewer and the show gets darker and quieter, it sets off an uncomfortable vibe. Unlike most other Public Access TV shows that are known to exist there aren't that many episodes, so not much can be said.
According to the Facebook page The Church of Shooting Yourself is a Public Access weekly half hour TV series on NYC MNN TV that started in February 1993 and continued through 2007. It stars Rik Little as Rik Arithmetic, a fake newsman documenting the East Village and surrounding World.
Only 3 episodes exist on the internet (1, 2, and 4). The rest are absent. In fact, on the show's YouTube channel there are a bunch of unrelated videos with a man and a woman in a room together playing music. The exact reason for the name is unknown.
The Church of Shooting Yourself's Channel: https://www.youtube.com/user/CHURCHOFSHOOTINGU
Daily Tape No.1: https://www.youtube.com/watch?v=rFgKey5Ftcs
Daily Tape No.2: https://www.youtube.com/watch?v=Jqw_htW0xME
Daily Tape No.4: https://www.youtube.com/watch?v=yJ-oASr_djo
The Church of Shooting Yourself's Facebook Page: https://www.facebook.com/The-Church-Of-Shooting-Yourself-166392896790389/