It all depends for me on the circumstance.
I prefer in hospitals to be asked if I want to be called Mrs or my first name, because let's face it in some hospital situations you want to cling to as much autonomy as possible. On the other hand, if you're going through a painful procedure where you almost break the bones in the nurse's hand you're gripping onto for grim death, being called by your first name is friendly and reassuring.
Recently I've found young shop assistants etc have taken to calling both me and my 72 year old husband "sweetheart" which I take as a sign that we now look like our physical ages even though we still feel in our 30's! However, I also think it's meant kindly so I quite like it.
My dentist has always used my first name, and it makes me feel he sees me as a person he likes rather than just another mouthful of teeth. Same with my usual GP, who's a gem - but the others in the practice must use my full name.
What REALLY sets my teeth on edge is when cold callers use my first name - they get short shrift, as I think that's downright disrespectful.
Also, my name sounds like the shortened version of another name and I actually take the time to complain in writing if I've given my name and am then referred to by the one the person THINKS I should be called. Grrrr.