The topic was brought up in my photo class a while back. Professor said one of his male students was arrested for taking pictures of children at a school yard. No matter how hard the student tried to show proof and intention, the police took him and held him at the station. It was only after a phone call to the professor to vouch for him as a photography student was he released.
I'm sure the police really didn't have anything they could hold him on but with all the media hype and psycho parents (ok not all of them), the police pretty much can do whatever they want.
I like the idea of bringing a female companion along for the shoot. I'd even go as far as have them hold some equipment to appear as an assistant. I have also found that printing up photographer "calling cards" and having a few in pocket comes in handy. I had a box made real cheap from vistaprint.com. Ask the parent for permission, show identification (school photo pass), and hand them a card with a promise to send copies if they initiate the contact with you over mail or email.
The key is to convince the parents of your true intentions and give them all the information they require (including your contact info) to make a decision. If they say "no", politely say give thanks and walk away.
On the other hand, my cousin started shooting sport events of his daughters with the permission of the rest of the parents. He even puts together a slide show and burns CDs for them... FOR FREE!! Can you believe that one of the parents actually complained that there was not enough coverage of their kid? Sheesh......