Client suicide is the #1 cause of law suits against psychologists (see Simpson & Stacy, 2004). Most malpractice suits have to do with foreseeability & reasonable standard of care (see Jobes & Berman, 1993). So, it's not necessarily that you are always liable if a client commits suicide--it's understood that it happens-- but that whether you provided reasonable assessments and did everything you can to prevent it given the evidence that you had. The bottom line is to document everything. Your assessments and course of action should always be in writing. No-suicide contracts are a good means of documentation, although there isn't much in the way of empirical support that they actually do anything to prevent suicide. Also, all therapists should have good malpractice insurance-- my clinic requires it.
It may seem callous to focus on CYA when dealing with something as serious as a suicidal client, but it's very important. Losing a client to suicide is difficult enough, having a law suit strip you of all of your assets and career prospects on top of that is almost unsurmountable. It goes without saying that you should at the same time be doing anything you can to prevent the suicide from occurring the first place.