After obtaining a high gambling skill, gamble in Caligua's until you have actually lost money. (Your money will turn red). After a while you will receive a call from a mobster at Caligua's, who informs you that you owe him money. Later again, he will call you and tell you that some of his "associates" are coming to talk about the money. You will then be hunted down by the mafia, and they will try to kill you.