"
Preach all you want, but who's gonna save me?
I keep a gun on the book you gave me,
Hallelujah, lock and load
This is a obvious hint towards suicidal feelings, "Preach all you want, but who's gonna save me?" is showing that the speaker cannot be saved by a higher power (example : God). The point that religion can not save him is "I keep a gun on the book you gave me" the book could be the Bible and show that he has used it as nothing but a holding place for the bad. Then with the final words "Hallelujah, lock and load", it is showing that he is preparing for the suicide, and mocking the faith by using the word hallelujah. Gerard Way has also spoken about his thoughts on religion which reinforce these points, stating he was brought up in a Catholic household and that turned him off of religion.
http://www.twitlonger.com/show/n_1rk8kju