Due to its phallic shape and size, the dagger in Romeo and Juliet operates as a traditional symbol of masculinity (or more specifically, of male sexuality). Juliet threatens to kill herself with a dagger several times in the play (although she only acts upon this threat only once).
The first time is shortly after learning that she is being forced into a marriage with Paris. Juliet flees to Friar Laurence's cell under the pretense of going to confession; there she tells Friar Laurence that "with this knife" she will kill herself if Laurence does not provide her with a solution to her predicament. This moment foreshadows Juliet's ultimate end.
After creating a plan to fake her own death, Juliet returns to her chambers and lays down her dagger, commanding it to, "lie thou there." This, however, will not be the last time she touches such a weapon. When Juliet awakens from her fake death, she discovers that Romeo has killed himself with poison. Hearing someone approaching in the crypt, Juliet grabs Romeo's dagger and stabs herself:
Yea, noise? then I'll be brief. O happy dagger!
This is thy sheath;
there rust, and let me die.
There is a long connection between death and sex. In fact, the French phrase for an orgasm is "la petite mort," which translates to "the little death." Sex traditionally is used to give life, while death takes it away. Thus, all these instances with the dagger are so symbolic and poignant because it is her love for Romeo and the consummation of their marriage that ultimately leads to Juliet's premature death. In each major crisis, she is near a symbol of his presence in her life--a presence which has largely been sexual. Romeo is the man who takes her virginity... as well as (in an indirect way) her life. It is, thus, tremendously appropriate that she kills herself with his weapon. Just as their marriage and sexual attraction bound them together, so, too, will their deaths.
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