Actually - once a burn damages your nerve endings (I think third degree burns +), you really don't feel much. I know this is horrible to contemplate. :-( But in another way it's sort of a blessing if someone is that injured. But I concur - it's not a pleasant method. Gunshots are fast; overdosing can be painless. Hanging oneself also strikes me as pretty awful but the truth is that depending on the ligature + the length, the actual cause of death (and the time it takes) can differ.
http://en.wikipedia.org/wiki/Hanging
This is a great point - especially at age 19, things that can feel overwhelming at any age can feel insurmountable. If that was actually the case for Jessica, there would probably be SOME evidence or signs that she was feeling really down, at least, at some point. I don't think most people who do it commit suicide on a whim, and not in that fashion.