Leveling
After taking out enough targets, you can level up one of your character's stats (gun damage, melee damage, health). Consider improving your melee damage first, followed by gun damage after you have enough money to purchase a pistol.
Targets
Choose your targets depending on what you need from them. When short on money, target civilians. When short on ammunition, target the police. When going after a policeman, consider using melee attacks. If you try to attack them from a distance, they will shoot back with very good accuracy.