On June 17, 1933, one of the most significant shootouts in American law enforcement history took place. The location was in front of Union Station in Kansas City, Missouri. It is known as the Union Station Massacre or the Kansas City Massacre. Four law enforcement officers were killed, along with the prisoner they were transporting. The significance of the incident derives from the fact that it resulted in the creation of the Federal Bureau of Investigation as we now know it.
The FBI’s official version of the events
The Kansas City Library writeup of the incident including an alternate version of the events
A more complete explanation of the alternate version by Professor Robert Unger
tacticalprofessor 
A better link for the FBI version;
https://www.fbi.gov/history/famous-cases/kansas-city-massacre-pretty-boy-floyd
The Union Station has been remodeled and is now a high end restaurant and shopping venue, but you can still walk the terrain where this incident happened.