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In Spain, all of them are very common, and use one of them is just a question of regional/personal preferences. To me, 'socorro' and 'auxilio' sounds more urgent and important than 'ayuda', probably because 'socorro' and 'auxilio' are only used in an emergency, while 'ayuda' is also related to non-urgent help.

A usual translation for the interjection "Whew!" is ¡Fiu! In these situations it is common to say: ¡Qué alivio! It is also common to say Me salvé por un pelo. In Uruguay we say also "En el anca de un piojo" but I don't know if this is common elsewhere. to express how close to the bad situation we had come. "Thank goodness" might also be ...

Just to add to Bruno's answer you can say these aswell: ¡Gracias al cielo! ¡Menos mal! ¡Uf! and for some humor we say sometimes this in Colombia: Me salvé por un pelo de rana calva. The translation would be I saved myself by the hair of a bald frog. Since frogs have no hair, a bald frog would have even less hair. So he saved himself by ...

This translation will depend not only on the country or region you're speaking Spanish, but will also depend on the age the people you are talking to. For example, in Chile (and I think in many other places as well) we can say with a "neutral dialect": ¡Genial! ¡Excelente! But according to the age of the people who were talking, you could hear also in ...