Great thread lol.
I have only been busted once in around 450 hours of gameplay. And that was because I was too slow when trying to drive off (pretty sure I had 4 burst tyres) [tyre is spelled with a 'y' in the UK before anyone corrects me)
As mentioned above, you lose all of your ammo but keep your weapons. It's much better to be killed and just pay the 5g's.