It was auto-erotic asphyxiation, unless he staged it that way so it would look like an accident for insurance purposes (many life insurance providers don't cover suicide). The BBC's initial report was:

Thai police told the BBC a hotel maid found the 72-year-old naked in a wardrobe with a cord around his neck and genitals.

This was changed almost immediately to:

Thai police told the BBC a hotel maid found the 72-year-old naked in a wardrobe with a cord around his neck and other parts of his body.

At any rate, this is a very sad day indeed. Rest in peace, Mr. Carradine - you'll be sorely missed.