If you enter Rim Job's in the starting area, make the shop keeper set off the alarm by firing your gun. The police will come to take you away but the uniforms apparently can't enter the garage.
This is great (unless it is patched). You can hide on the corners and pick off the police as much as you like and they can't touch you. The only time you are in danger will be if you're in the open. Once your health gets low, just duck back behind the corner and heal up.
This is a cheap and easy way to get weapons and ammo for free. After killing a few cops, wait for a break in the action and then dash out and scoop up the weapons and cash they've left behind. I managed to max out on pistol rounds, shotgun shells and SWAT rifle ammo in almost no time at all. Once you've had enough you can run into the office and wait out your wanted timer until the cops leave. How's that for street smarts