Yeah I have been busted once or twice while on random rampages. You get to keep your weapons, but they take ALL your ammo. I did see a notification saying your ammo/vehicles are kept at a police compound somewhere - not sure how you get them back though (?). When on my random rampages I never save afterwards as I loose a LOT of money in hospital fees
I got busted once, got surrounded by cops while on foot, killed a few near their car and thought I'd use it as a getaway vehicle... for some reason getting in the unattended police car busted me - go figure.
For online play, if you get killed by the police or busted while near your personal vehicle the cops will impound it, you then have to break in to the police compound and steal it back. You don't get Ammo back but you can get full ammo from doing a few survivals anyway.
I also completed story mode Saturday evening. Also one of the few games I have completed fully. Mainly as I found the story mode missions easier than previous games. Yeah I died more than my fair share of times, however it was mostly just long gun fights so you will get through them soon enough. Just need to work my way through the side missions and para jumps now.
I completed the single player a little while ago including all the side missions, epsilon tracts etc... quite enjoyed it.