Just stand still with your gun in its holster. They'll fire a shot at you, then arrest you but to be honest, It's not all that good. You'll get a very short cut scene of being in jail, then you'll get released.
In my experience it actually takes more effort to get arrested than it does to run....trigger happy bastards. --- America, where a child molesters death will be followed by months of live TV specials, and a rock god's death will go unnoticed.