The flippant (but obligatory) short answer is, "Whatever they tell you to." Of course, within this there is nuance and some other considerations to be made:

Most important: Stay. Calm.

Next, establish eye contact with the assailant. It sounds simplistic, but looking into their eyes forces them to acknowledge, if only to themselves, your humanity in this situation.

Excellent summary of Justin Freeman's post (from 2011!) that itself was pulled from a Quora page with 20 answers:

http://quora.com/Crime/What-should-you-do-if-someone-puts-a-gun-to-your-head

There's another really important point on the page:

Is there any case where you should forcibly disarm the assailant? The answer is NO.

This might seem counterintuitive, but James H. Kelly explains why:

I've trained at disarming an assailant with a gun for years (with law enforcement, correction's officers, military guys and traditional martial artists) and even with all this training, it is very, very difficult to successfully get a gun away without getting shot. So difficult that anyone claiming to teach you how (if you're not wearing a vest and don't have backup) should be treated with mounds of skepticism.

He runs through all the scenarios, and sure enough, in every case you're likely to get shot if you try to disarm the assailant.

The goal is to keep the gun wielder calm, as Justin Freeman writes:

No two gunpoint situations are alike, and they will all be very dynamic situations. My advice is to remain calm, be as compliant as you can, be aware of your surroundings, and do what you need to in order to survive. But the obvious best case scenario is keeping yourself out of the situation that put you on the business end of a firearm.

Safety suggests avoiding risky situations in the first place and not being ostentatious.

And being aware of your environment instead of being aware of your smartphone.

Worth repeating: Be aware of your environment instead of being aware of your smartphone.