Whenever one parent decides to just "put the other parent out of the kids' lives" that's often more the parent's thinking than the kids' thinking. No matter what he does or how he's been, never EVER forget that he is your children's FATHER and they are partly him. When you degrade HIM, you degrade THEM.
That being said, there are times when, for safety and protection, it is reasonable to delay visitation or seek to end it for a while. I mean, even if he is their father you don't want your children to be where there are loaded weapons or a mentally unstable person. And catlover, we are talking about COURT here. Court is not about "what's right and wrong" but what you can prove. Please try to remove from your head "it's not right that he should threaten the kids with suicide" because IT"S NOT RIGHT but no court will stop visitation because the other parent is "doing wrong." So start to look at it from the "evidence" point of view and what you can prove.
Along those lines--the EVIDENCE--I would suggest that you speak to your attorney and get legal advice, speak to a counselor who specializes in abuse and get their advice (like someone who works with abused women?), speak to a law enforcement person and get their advice, and get all this advice in writing. In their professional opinion how serious is this threat and what damage might it do to the children? What are some "danger signs" to look for and symptoms of trauma? How many of those do your children already show? See how you're building a case with EVIDENCE? The goal would be to have a way of saying to a judge or even to your attorney, "I spoke with Sgt. A and he says having loaded weapons in the home of a depressed person presents XXX danger. I spoke with the DA and she said XXX. I spoke with Ms. B, MSW who specializes in verbal abuse, and she said the danger could be XXX. And I spoke with the kids' counselor and he said, XXX" This shows EVIDENCE that it's not just you being a vindictive ex-spouse.
Next, on your own keep a calendar like a binder, and every time he mentions suicide write it on your calendar. Every time he does something you consider scary to the kids write it on the calendar. Do this for a bit and you'll start to see a) documentation and b) a fairly scary/predictable pattern. A calendar is admissible evidence because it's not "Well your honor he said stuff that scared our kids all the time"--it's "On Oct. 4th he loaded a gun, locked the door, and told the kids he was killing himself. They could not get in, freaked out, called me, and I called the police. We can get the police report" "On Oct. 5th he acted like nothing happened the day before and yelled at the kids all day until they came home hysterical" "On Oct. 8th the kids returned home from their visit with no shoes, no socks and no coats."
Finally and in conclusion, I do once again request that you REALLY consider whether you are doing this for your own reasons or to actually protect your children. It is NOT a small thing to consider disallowing visitation and the best example I can think of is this: what if he did the same thing to you? He is a parent. He has the same biological right to the children as you do. I go to that drastic point so that I can really get you to think of the seriousness of what you're suggesting. If you can say, in good conscience, "If I were doing to the kids what he's doing to the kids now, I would hope that he WOULD take them away from me for their protection" then I would say it may be warranted. If you can not, then please do not take away visitation because of what is between you and their dad. Okay?
And I would like to point out something REALLY clearly. In your instance it sounds like you are the more responsible parent and he is the more abusive parent, but that is not always the case. Sometimes the hubby/guy is the responsible parent and the wife/lady is the one who's abusive and irresponsible and freaking every out!

Hope this helps ya!
~Faithful