Lyric discussion by cynicalpoet 

Cover art for Stay lyrics by Shakespear's Sister

I think whoever said it was about suicide may have hit the nail on the head. Certainly, it has elements of obsession it it - but it certainly has elements of a woman singing to a lover who is depressed and contemplating suicide. "Don't think I'll understand" in particular, is something I know I've had to say to friends or girlfriends who have considered suicide.