If your dispute involves an issue of public importance then you may want to consider litigating to ensure that the case results in change. The example usually referred to are cases in the US relating to civil rights. If those cases had been mediated each individual may have won a personal victory but they would have done nothing to change society.
There may be safety issues around mediating. Perhaps you are involved in a family dispute and your partner has been abusive in the past. You may not be able to mediate safely.
If the other side has a hold over you and you are unable to mediate in your own best interests then you may want to consider alternative routes to resolution. Mediation has negotiation at the heart of the process and if the power imbalance between the parties is extreme then it may not be possible to have a negotiation.
In addition, as a negotiation, mediation requires that both parties act in good faith. If the other side is mediating cynically to seek information then you should consider terminating the mediation. Please discuss this with the mediator as they may be able to find a solution.
There are also cases, which cannot or should not be mediated because of their subject matter. For example, criminal cases are the responsibility of the state. There are some mediations which address specific issues in the criminal world but they tend to focus on juvenile issues.
At the end of the day, if you are uncomfortable with the process or the thought of mediating then this may not be an appropriate process for you. However, if you have already engaged a mediator, I would urge you to discuss your concerns with the mediator in case they can be addressed.