I've tried this method a multitude of times with nitrogen gas. I panic.
You feel breathless. You gasp for air as if you're running. Then, your mouth goes dry from all the excessive breathing. One of my ears also (temporarily— till I got off the gas) went out and I couldn't hear a thing from it. If you make it out of there, memories are foggy and you'll feel a sence of confusion. For me, I fell into a far deeper depression after attempting this multiple times.
I've lost those around me due to not being able to go through with this method and having to live with the side effects— including my mood. I basically got tired of the wind going through my face and the hissing sound of the gas. Of course, I'd try again if I acquired the budget to. However, the problem is, the hissing is quite loud. If you live with others, they will hear you and you may get interrupted. Also, the tank is a little heavy, which is a bonus if you wanted to bludgeon yourself to oblivion— but that isn't reccommended (I got the size I think two sizes above what a medical oxygen tank would be). In my multiple experiences, one will panic before they go out this way too. I tried to surround myself with peaceful items as I went with Nitrogen gas. Nothing did me justice.
You will need a tank+ gas+ converter+ plastic tubing(so the air doesn't just hit you in the face, but I couldn't find one where I live and when I asked for one, people got suspicious..)+ large garbage bag (so all the gas doesn't just flow out as it would with a little bag) etc etc
This method is definitely effective, but you'd need to be in the right mindset in order to be at peace while doing so.