My understanding was to always call Approach first, if the frequency exists (unless published otherwise).
I might be wrong, but my understanding is that you need to call the airspace owner of the airspace you're travelling through. For a CTA/TMA that would normally be "Approach", for a CTR that would be "Tower".
Since everybody is mentioning Manchester, I just checked the (2007) AFE flight guide and the (2009) Jepp maps I have here. I can't find any indication in those two publications to call Approach first, before calling Tower. Except when you want to fly from/to Woodford or Haydock park, in which case the initial frequency as mentioned on the map is an Approach frequency.
But if I look at the (2007) ICAO chart, there's a little "135.0" next to the MAN CTR D text. Suggesting that that's the initial frequency to call. And that's of course Manchester Approach.
Oh well, Manchester is PPR anyway so that would in this case be sorted out during the phone call. And if you call up on the wrong frequency you'll be told so immediately and transferred to the proper frequency anyway.
But my gut feeling is that Manchester is the odd duck out here, with a CTR that's being served by both an "Approach" (135.0) and two "Tower" (118.625/119.4) frequencies. Or Mr. Jeppessen made a mistake here and should have mentioned the Approach frequency instead of 118.625 like they do now.
Anybody from Manchester who knows the particulars?