Mafia II: Definitive Edition

Story related and cannot be missed. 
 

Your first target is clear: Freddy's! After the conversation there you drive to the destination point. Pick the door of the shop, step inside and wait for the cutscene. After that, follow Joe immediately and don't bother about your pursuers at first. Stay behind Joe and always wait for him to open doors for you. You only have to shoot after you have climbed the stairwell. There is always contact with the police on the roofs. Always seek cover immediately and return fire with targeted volleys. Keep following Joe. At the end there is a cutscene and you have to flee from a large police force for the first time.
 

Steal a car as quickly as possible. Don't bother with lockpicks, just break the window or drag a driver out of his car. Then drive carefully towards your accommodation. There is a workshop on the way where you can change the number plates of the car if necessary. With a little care and a good eye on the radar, it shouldn't be difficult to get home unnoticed. If you have problems here, just bribe the police from a phone booth. This ends your escape immediately but is very expensive.