We have seen in the Mainz Anonymous numerous instances of people committing suicide rather than letting themselves fall into the hands of the Crusaders. They did this, not lest they be killed, but lest they be converted to Christianity. Sometimes, they even killed their children, or others, lest they (the children or the others) be converted. This is the subject of an halachic controversy.
But a word of introduction is in order. Normally, a Jew is allowed to sin if the alternative is death. One of the few sins which he must not commit even on pain of death is apostasy; this includes ostensible apostasy, where the person remains Jewish in his heart. So the Jews in the time of the Crusade were certainly correct in allowing themselves to be killed rather than be converted (although we certainly cannot blame those who did not). The question then arises whether they may kill themselves rather than be converted. That is, if one fears that he would choose conversion over death if given the alternative, should he commit suicide so as not to be confronted with that choice?
Much has been written on this topic, but I shall merely present to you two texts which deal with it. These were written by eminent rabbis during the Crusades (albeit not the First Crusade), and address the topic directly. They were written in Hebrew; the translation is my own.
Rabbi Yaakov Tam (quoted in the Tosafos to Avoda Zara 18a) indicates that
where they fear, lest idolators pass them into sin [i.e., apostasy], as by tortures one cannot withstand, then it is a mitzva to damage [i.e., kill] oneself.
And the Daas Z'kenim (to Gen. 9:5) writes that
this [verse, Gen. 9:5,] is a warning against one who [wishes] to strangle himself. . . . One might [think] even [a person] such as those who give up their lives for kidush Hashem would not be allowed to damage [i.e., kill] himself if he fears he would not be able, himself, to withstand the temptation [to convert rather than be tortured]. [But one who thinks so is wrong, for the verse] teaches, saying "only" [to tell us] that in the time of forced conversion one may submit himself to death, killing himself. . . .
From here, some bring proof that one may kill a baby in the time of a decree [of forced conversion, lest the baby be forcibly converted]. But some forbid [it]. . . . There was an incident where a certain rabbi slaughtered many babies in a time of forced conversion, for he feared that they would pass them from the religion. Some [other] rabbi was with him, and was extremely angry at him, calling him a murderer, but the [first] one paid no heed. So that [second] rabbi said, "If it is as I said [that one may not kill children in such a case], then that [first] rabbi should die an unusual death [for he is a murderer]." And so it was: the idolators grabbed him, skinned him [alive], and put sand between his skin and his flesh. Thereafter, the decree [of forced conversion] was annulled; had he not slaughtered those babies, they would have been saved.