What to do when police asks for ID?

So, you are walking down the street, or riding a bicycle, or in a passenger seat of a car, and a police officer approaches you and asks you for identification, without offering any explanation as to why. Do I have to identify myself (either orally or by providing a government issued photo ID), or can I just state that I would like to exercise my right to remain silent/ask if I am free to proceed and depart the area?
Is this something that is set at the Federal level or varies by location?