I guess that is a matter of opinion. In dense middle european airspace i would always go to mayday, and be it only for the reason that i will deviate from ATC clearances and minimum separation is no longer assured. And i won't get any RAs either. A mayday state can allways be downgraded to PAN PAN later on when the initial actions are done.
And of course, remember that PAN PAN is not recognized everywhere, try it in spain for example...