Fox, as per norm, covered car chase, in Arizona, perp runs away, then takes our pistol and shoots himself in the head as Shep Smith yells to crew, "get off it, get off it." After commercial break, Shep apologized. Warning: graphic.
Double warning, the video at the end of this link shows the suicide. It does not auto-play however, and I kind of doubt it'll stay on YouTube for long.