Emo kids usually do it because they want to die, but truthfully that is not a very productive way to do it.
This is where the term "Down the road, not across the street." (also variated with alley and stream/river) originated.
Cutting yourself across the street will just be painful. Chances are it won't kill you, unless you're a hemophiliac. You can still do it if you are emo enough to prove you're hardcore.