In the UK, jumping under a train accounts for around 3.5% of all suicides. In the US it is almost insignificant, although in some other European countries that have well developed rail networks and tough gun control laws, it is more popular. Germany has 7% of suicides take place on their railways1.
Reliable statistics on the likely mortality rate of being hit by an overground or underground train are hard to locate. Wikipedia quotes a 90% mortality rate for jumping in front of a high speed train (not when it is slowing down as it comes in to a platform though), and 67% for subway/underground trains, as people are generally jumping as the trains are slowing down coming into a station.
Anecdotally, the ease of jumping under a tube/subway train does make it an appealing method, although once again the unconscious survival instinct must be overcome in order to jump. Jumping just as a train comes out from a tunnel is the preferred spot as that gives the driver less chance for emergency braking manoeuvres.
As a method, jumping under a train is likely to cause trauma for a number of people other than the one attempting suicide. Post traumatic stress disorder is a common complaint for train drivers. Those witnessing the suicide could also be traumatised as it is an extremely gory method of death. Then there will be those that have to attend to the body. And lastly, and perhaps most importantly, there will be someone, often a friend or family member, that has to identify the body, which could be badly disfigured.
For the cases where death is not instant, it might also be a very painful method of death, and those surviving are likely to have serious injuries, which may run from broken bones, to limbs amputated and brain damage. Whilst someone might picture death as being decapitated by the train wheels, it is possible for the body to just bounce off the front of the train then fall in between the train wheels, or have just a limb over the tracks.
In the section Most lethal methods of suicide, the study quoted an expected average time to death by this method of 17 minutes. As long as consciousness is lost quickly, the death should be relatively painless, but if consciousness is not lost, it could be an agonising method.
The conclusion is that whilst it may well be a method that is successful, there are a number of drawbacks that should be considered.
Baumert et al.: Ten-year incidence and time trends of railway suicides in Germany from 1991 to 2000. Eur J Public Health 2006.