I would always endorse a pilot contacting ATC or area controllers to advise of an actual or developing problem, especially if it prevents violation of controlled airspace or a similar consequence. I'd be pretty sure that instructors around the world drum that message into students. The nature of the advice clearly relies on the judgement of the individual pilot and I take the point about pilot incapacitation due to e.g. panic as being a factor in itself.
In having a quick look for any national differences, I came across a UK controllers' emergency response guide (possibly slightly dated) at:
http://www.skybrary.aero/bookshelf/books/200.pdf
Having not thought much about the situation from the ATC end, I found it interesting reading.
Like Mary, I have found ATC helpful everywhere I've flown in the world. Many years ago, as a newly minted pre-GPS PPL, I found difficulty in positively fixing my position in the narrow Sydney VFR lanes, owing to low sun and severe haze. I definitely needed urgent help to avoid ILS approach paths etc, but in my judgement the situation did not fit mayday or pan needs. A plain language request for navigational assistance did the trick, with the only consequence being a phone call from CASA (or whatever they were then called) a few days later. In retrospect, the enquirer was more interested in my training and the (correct) decision to ask for help than in any particular actions on the day.
Perhaps a slight difference between Australia and the UK is the density of available response services. With the huge areas here, it's hard not to be aware of the potential opportunity costs involved in calling out the cavalry to a particular incident. Those fire engines and ambulances mobilized at a rural airport may be the only ones for hundreds of kilometres. If the situation demanded a mayday call, I wouldn't hesitate. But if there was the luxury of thinking time, I'd give it some serious thought.