In UK, outside regulated airspace (in the open FIR), VFR aircraft operate on a see-and-be-seen basis and do not have to talk to ATC, let alone obey vectoring instructions. Similarly, ATC may choose not to give a service to such aircraft if they choose not to.
Some UK controllers do occasionally try to give vectors to VFR aircraft outside their airspace (been offered such an option a few times) but pilots are not obliged to comply, which has the potential to cause some antipathy! Obviously, however, the pilot takes over-riding responsibility for the safety of the aircraft, as at all other times.
Radar control or Special VFR - do what ATC say, you are in their airspace and they are controlling you. ATC are obliged to maintain minimum separation criteria so don't expect any sympathy if you don't exactly what you are told.
Radar Advisory (you will be outside their airspace) - probably best to take ATC advice for noise abatement reasons; that is, the noise of your aircraft hitting something!
Radar Info - Act as you see fit on ATC information given of other aircraft in your vicinity, if you don't know, ask for avoiding action / upgrade to radar advisory.
VFR (Inside regulated airspace) - do as for Special VFR if you want to come back the same way next time....
VFR (Outside regulated airspace) Request Flight Information if you want it - do just what you like if you know what you're doing.....but keep a bloody good lookout in any event, especially if I'm coming the other way, please.
