Kevin Kelly at Cool Tools looks at Rough Guide's First-Time Around the World, a guidebook for vagabonding. A sample of its advice:
Fake police scam
A kid comes up and asks for change for a small banknote. Not long after (most likely in a city park or on a quiet road), a man approaches, flashes a badge quickly and tells you he's a police officer. He explains that the note you just received from the boy was counterfeit and that he needs to take it back to headquarters and you will be fined for your involvement. At this point, just as you are starting to wonder if it's real, a large muscular "colleague" arrives and pressures you to pay up.
How you beat it: take a good long look at the badge and tell him that, although he is certainly a genuine officer, there are many impersonators and that, according to their own tourist ministry, you're supposed to make all such spot payments at police headquarters, and you'll be happy to follow him there on foot. Under no circumstances should you get into their "unmarked police car".