First of all, I would deeply regret not having a cameraphone to film it with. I would try to keep it talking, especially if I was out somewhere in public. I would watch with peripheral vision to see if other people noticed it. If they didn't, I'd assume I was delusional and seek treatment.
"Pardon me sir, but who are you?"
If it told me it was Jesus or Michael or Gabriel or some other Judeo-Christian entity, I would try to talk it out of its proposed violence, based on the precedents set by Abraham, Moses, King David and others.
"Kill people? With all due respect, is it not written, 'My kingdom is not of this world, for if it were, then would my servants fight?' Did Jesus (or "you" if the entity claims to be Jesus) not tell Peter, 'Put away your sword, for those who live by the sword shall die by the sword"? Again it is written, 'For we wrestle not with flesh and blood, but with principalities and powers and forces of spiritual wickedness in high places.'
"Speaking of which, it is also written, 'And no wonder, for Satan himself masquerades as an angel of light.' So how can I know that you are who you say you are, and not the Prince of Darkness seeking to deceive me and trick me into committing acts that would bismirch the name of the Lord?"
If other people noticed it, then hopefully I could keep it talking long enough for someone with a gun to show up. Then there would be a chance to find out what bullets did to it. If I was alone and had no way to get into public, I'd have a go at Captain Kirking it to death, especially if it claimed to be Jesus or Yahweh.
"You have my compassion, Lord, for no other being can ever suffer as much as You."
"What do you mean, puny mortal?!"
"I'm an atheist. That means, when I die, you will send me to Hell for everlasting punishment for my sins. But you see, no matter what you do to me, your anguish will always be the greater. If it were otherwise, there would come a point when the scales would balance, when your furious wrath could end at last, and you could find release. But that will never be. I am finite, and can only suffer finitely, no matter how long you keep me in the flames. But you, are infinite, and the offense against you is infinite. My suffering will always be less than yours, and I am only one sinner. You. Can. Never. Have. Peace. This is an inescapable consequence of your existence. So long as you exist, you can never escape your misery. There is only one way out for you. Our physicists have mathematically modeled how a universe can come to be without a Creator. Being omniscient, you must know of their equations. I imagine that if you were to destroy yourself, you would make a rather...Big...Bang....