If you can, always, always try and select the emergency code.
If you have time, make a broadcast on 121.5.
There are a number of reasons for this:
1 - An emergency squawk can often be located by the appropriate Distress and Diversion (D & D) authority, even if you are in an area of poor radar cover. Even if the squawk is only be seen for 10 seconds or so, it's enough to set off the alarm bells, and hopefully get a fix.
2 - In the same respect, even if you're in an area of poor radio cover, a brief transmission on 121.5 is often enough to get a DF fix, especially if it's combined with an emergency squawk.
3 - You'd be suprised at how many aircraft actually listen out on 121.5 as an operational procedure. Even an ground station can't hear you, an aircraft probably will, and be able to relay messages to and from you.
I know that in the heat of the moment, it's a lot to cope with, but it may make the difference between coming out alive or not.
I would strongly recommend that you practise the scenario with a flying colleague on a regular basis, and also do the same thing with the appropriate D & D centre.
Laid down procedures for doing this should be available at you club, Flight Service Station, or local ATC unit.