I'm not sure it's good to base your choice exclusively on pain, you have to take into account the success rate and the consequences in the event of failure.
For the train, although it seems less likely to fail, the consequences of failure would surely be much worse than those of jumping from a bridge, and furthermore it's not the most correct to involve the driver, as well as all passengers in your suicide by choice.
To answer, I would say that the train is the fastest, however if you do some research, decapitation would be very painful because the brain still remains active for a few seconds, however no one has come back to say that.
On the other hand, jumping into cold water could cause you to lose consciousness, but nothing is certain.