I think the cops got to the bar, then went inside first to search around. They probably assumed he would be in there ready to give in, since he called them. It did feel like a long sequence, but maybe it really wasn't? I have no idea.
Hopefully by now, everyone who wanted to see the finale has, because I don't want to put spoiler captions.
That was a really satisfying end. It tied up everything I can think of right now nicely, and Walt died happy.
I agree with Austruck, what Gilligan did with the Gretchen dispute was genius. Only Walt could have thought this up. I didn't like them much anyways, so I'm glad he punished them.
My favourite scene (tough decision) would probably be when he's talking to Skylar, and she expects him to say "I did it for the family" like he has the entire show, but he says he actually did it for him, which for me was his final acceptance that he wasn't the good hearted, loving father and husband he led himself to believe he was.
Sad to see such an incredible show go, but at least they did in their own terms, just like Walt himself. I expect they'll release a complete box set soon enough, and I'll be eagerly waiting for that.