The gymnosophists were pretty hardcore:
"In Persia, too, Calanus, who had suffered for a little while from intestinal disorder, asked that a funeral pyre might be prepared for him. To this he came on horseback, and after offering prayers, sprinkling himself, and casting some of his hair upon the pyre, he ascended it, greeting the Macedonians who were present, and exhorting them to make that day one of pleasure and revelry with the king, whom, he declared, he should soon see in Babylon. After thus speaking, he lay down and covered his head, nor did he move as the fire approached him, but continued to lie in the same posture as at first, and so sacrificed himself acceptably, as the wise men of his country had done from of old. The same thing was done many years afterwards by another Indian who was in the following of Caesar, at Athens; and the “Indian’s Tomb” is shown there to this day." ‎- Eivind
From Plutarch's Life of Alexander, Parallel Lives. ‎- Eivind
cynics too, immolated themselves. ‎- fax
And the occasional Buddhist monk. The dangers of pondering the big questions. ‎- Eivind