I'm listening to the "History of Rome" podcast, episode 66 "666". He said that the Roman "Piso" chose suicide over exhile to the provinces when he was found to be part of a plot to assassinate Nero. It seems to be an extreme choice to make, so what all does exile mean for a Roman, particularly, a Roman noble/aristocrat?
The Romans typically exiled those who had committed a capital offence but were too rich or politically influential to execute. Those ordered into exile usually went, and often became reasonably comfortable there: after Titus Annius Milo was exiled to Massilia (Marseilles), for example, he could jokingly write to Cicero (who had lost his case) that at least he had learned to appreciate the city's delicious red mullet. The poet Ovid, likewise, seems to have eventually resigned himself to exile in Tomi, where he kept himself busy by writing and learning the local language.
As to Piso - who is presumably Gaius Calpurnius Piso, leader of the plot against Nero - he was never offered exile. Tacitus' description of his death (Annals, 15.59) suggests that he may have had a chance to flee Rome before he was captured by troops loyal to Nero. In the event, he was surrounded and forced to commit suicide.