Yes, as a reader has pointed out, Tarifa does have a strangely high suicide rate, attributed to the levante and poniente winds that push through the town for much of the year. It was kind of shocking to get off the bus and feel the strong wind, especially since the wind was blowing against us as we were trying to get to our hotel with our packs on while trying to read a map.
But we're happy to report that we had no such urges for the 4 days we were there! So don't let it stop you unless you really hate wind!
Favorite thing: it's a bit of a microclimate (probably because you're near from british territory ;) ) It's windy and the days are quite hot (during summer). But it's usually a bit foggy, misty or just cloudy.