I remember being intrigued by the flight transcript for the Valentich incident, which happened over Australia back in the 70's. Came across this pretty interesting explanation proposing what actually happened.
Probably the most reasonable explanation would be disorientation.
But if it were a suicide, it's certainly not unprecedented to have someone take a light aircraft out over the ocean never to be seen again. Just in the past 2 years there was an airline pilot who hired a small Cessna in New South Wales and did exactly that.
The most interesting of the widely known cases in Australia to me is the one along the Nullarbor plain (completely empty expanse with only a road and trainline crossing it) where a family were allegedly attacked by a ufo.