First, you'll need a car (any vehicle will do). Equip your baseball bat and press Y (to normally enter the car), then Immediately start swinging the bat constantly.
You will be invisible the whole time so you can actually walk up to an enemy and wack him to death without knowing what happened!
However, if you stop swinging you will be automatically transported back to the car you used the glitch on.
After a long period of time the invisibility will wear off and you will be exposed without warning, so use it sparingly!
This glitch can be used as many times as you want (Note: When you find a car make sure no one is around to see you do the glitch because then your opponents will know you're cheating).