Reload - If you are down to 0 magazines and have reloaded at least once prior to running out of ammo, you can load all the rounds you have not used into a magazine and have bullets to shoot.
Surprise the enemy - Always use shotguns to take out enemies no matter what. You should also take advantage of the pistols. They are good for long-range head shots. C4 explosives are useful for blowing up a door to kill or surprise the enemy.
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