To understand why Hedda commits suicide, you have to understand a lot about Hedda’s character. So we address the whole question of her untimely death in "Character Analysis." Here, we’re going to talk about the very last line of Hedda Gabler, delivered by the lovely Judge Brack: "But good God! People don’t do such things!"
Any chance these words sound familiar to you? Go ahead and backtrack all the way to Act I, where Hedda sits and converses with Mrs. Elvsted. Thea explains that some woman from Eilert’s past threatened to shoot him with a pistol when they broke up. Hedda’s response is, "That’s nonsense! Nobody behaves that way around here!"
Now jump to Act IV again, shortly before the suicide, when the Judge is explaining to Hedda the threat of impending scandal regarding one of her father’s pistols. He suggests that the matter will come to court, out in public. "I’d rather die!" Hedda explains, to which Brack responds, "People say such things. But they don’t do them."
WELL. Look who has the last laugh, eh? All of these lines revolve around one big theme in Hedda Gabler: social boundaries. In the real world, people are concerned with keeping up appearances, with acting normally, with playing their part in the game of life. By shooting herself, by doing what people don’t do, Hedda embraces her romanticized world of aesthetics (see "Character Analysis" for more) and breaks free from the social mandates governing her every action. The Judge is right: people don’t do such things. But Hedda, in committing suicide this way, seems to be saying, "I do."