It'll sound horrible, but if you're able to, you should try not to worry about it too much. Make a few comments or suggestions or something, then stop spending energy on it. Personally, I'm still working on my ability not to care about things, but if you're able not to care, you might be better off not caring.
I've had two suicide situations over the Internet, and both times, not only did I feel completely useless, but I spent a huge amount of energy and my mood suffered from it a lot. Don't spend hours trying to convince them not to late at night. I think I've come to realize that suicidal people don't need reasoning, but help. Most of the time, their decision to die is reasoned, and no matter how flawed their reasoning is, they won't be convinced otherwise by you, because they either have already, or will as soon as you say them, dismissed all of your arguments.
So, yeah. Tell them what they should do, and if you're in a bind and they want to die very soon, you can always try calling 911, and the police should be able to track the person down, even if Interpol was to be used. If danger is imminent, you can try to gain time by speaking with them. In the first of those two situations, the guy had a knife on his throat and was doing his final goodbyes via MSN (a sign that he was mostly calling for help, I guess, because if you really want to die, you usually don't give 30 people in a row a chance to keep you from it). My own call to the 911 was useless, because the police here seems to be awful with IT, but his girlfriend (over the Internet I think) from another European country apparently called, and early in the morning, Interpol was knocking at that guy's door to bring him to help. So I heard from him.
So it's possible to help from a distance. Especially as these 2-3 last years, with incidents reported in the media of dead teenagers who had announced their intention on Facebook or YouTube a few days before, the police has been taking this more seriously. But keep in mind that it takes a lot of emotional strength and energy to take on a big challenge like this, which is why I won't do it anymore. (Or so I say, but it's hard to resist the urge to help.) As my psychologist told me, don't try to be a therapist. You'll tire yourself out, and might be useless or even make it worse.
If you're in a chat with them and they refuse to call a hotline, you can always call a hotline yourself so they tell you what to do. That might even be smarter, actually, than 911. They'll tell you the right thing you should do, and perhaps call the police appropriately.