Ditto. I've had an in flight emergency of quite a serious nature but never called 'Mayday'. There was an almost (now) comical moment when I broke out of cloud at YSRI (coincidently) after being vectored to final and saw a bunch of emergency services vehicles in front of me on the ground with lights flashing etc.
I was by myself in a small twin.
"Oh wow... something big must be going on here" I thought. A few moments passed, now locked on short final... "oh crap... they're here for me".
Yep, it's the last thing on your mind.
YSRI was my nearest. I didn't even consider going anywhere else.