In most instances where you are under positive RADAR control by an En-Route facility or an Approach Control, declaring an emergency with ATC is sufficient. The only time that I could see utilizing Mayday, or PAN PAN is in extreme situations.
Whenever you declare an emergency our actions are dependant upon your needs so it is important that you tell us as soon as possible what the situation is and what assistance that you need.
To be honest the only time that I have seen Mayday used is when aircraft have been flying along VFR and have experienced an emergency situation. They broadcast the Mayday on 121.5 or 243.0 (because they don't know the local ATC frequency) and with luck there is someone nearby that can lend assistance.
Mike
NATCA FWA