As with City Halls and Hospitals, police stations are often a poor choice of base due to their being perceived as "safe places" by the general populace. While true in most cases, zombie attacks can send panic-stricken family members running to the authorities, including those already infected and the undead who follow.
The advantage of being heavily armed, while appealing, can quickly be rendered a moot point when the officers are overwhelmed by hungry ghouls and are unable to fend them off properly. Additionally, many modern police stations are little more than armed office buildings, and present the same problems associated with city halls being large glass windows and doors. However, certain stations are built rather like millitary bases, with stone walls, broken glass on the top of any surface to stop people from climbing in, and roadblocks stopping anyone from entering or leaving by sneaky roads. An example of these are like those in Egypt. A very important advantage is the vehicles avaliable at the station (police cars, SWAT vans, and in some cases helicopters).
If it is not possible to flee a police station, stockpiling of food supplies is critical; there may only be a few days' worth in the entire building, particularly if your group is large. If the building is large, attempt to secure a single floor or wing rather than try to retake the entire facility. Arm only those people in your group able to safely and responsibly handle a loaded weapon, as the temptation to hand out guns to everyone, including children and the infirm, is ever present when surrounded by weapons. In the United Kingdom a police station will have a very small stock, if any at all, of firearms. A telescopic baton is standard issue for British police officers along with handcuffs and incapitation spray. On the whole, those won't be very useful.