I am not exactly sure it kind of depends on the circumstances. However when I am in question about whether or not I will harm myself I usually end up going to the ER and end up in a psych unit. But sometimes its hard to tell whether I have actual intentions or just thoughts of harming myself.

So I suppose from my perspective if you feel you are a danger to yourself or others, go to the hosptial....if you just need someone to talk to then I'd go for therapy and other non-invasive forms of help. The psych ward is really only useful if you're in a really bad place mentally and need to get more stabalized....otherwise I can't see it being much use.