If you're on the run in a vehicle, keep close attention to the radio; when the police say they've lost track of you, get out of the car and hide. You never know what might work: inside large bushes, in a building, and even under a bridge! Waiting under a bridge until the chase is called off can be surprisingly effective.

You'll know the cops have lost visual contact with you if your player arrow turns grey during the chase, just don't get too close to any cops afterwards or they'll be on you again! Avoid their lines of sight, then hide and get out of the area ASAP.