First actions vary, if you are close to a control zone, you may want to check airspace before you start blasting off in another direction, if its a big diversion, check fuel/wind and weather first, you dont want to turn then discover 5min later that the wx is terrible or you dont have fuel when you eventually get to working it out properly! Also consider what you are flying over (overwater, do you have life jackets? tiger country, high terrain and low cloud bases hanging around, etc.)
But generally, consider the above, get rough figures and then advise atc and start to re-work everything accurately.