In case of emergency always squawk 7500/7600/7700 according the case. . .Most systems will mantain correlation between the radar position symbol and the aircrafts call-sign even with the change of transponder code.. .Squawking 7500/7600/7700 makes you visible in all sectors independently of your mode C and Sector's altitude selection - it will help/advise lower sector's of a possible emergency descent / reroute / intention to land.
PAN or MAYDAY will get you the some special attention and priority but are different ways to catch the attention not only from the ATC but also from other aircrafts flying in vicinity. MAYDAY means, no doubt about it, an emergency but PAN might only be a request for priority or a statement of urgency.
APP Radar