VPN access is not currently available in Windows Phone 8. However, Microsoft is preparing to add VPN support to Windows Phone 8.x in 2014 via a new Enterprise Pack. There’s more information about this, see this article on CNET: Microsoft to add VPN support to Windows Phone 8 in 2014.
Windows Phone 6 (WP6) does have a limited support for VPNs. It supports the PPTP protocol and it has a LT2P/IPsec client built-in. You can find configuration instructions here, and you can enter settings supplied by your VPN provider for iOS or Android. Microsoft dropped support for VPNs in WP7 Mango.
Here’s a guide to setting up a VPN on Nokia Lumin phones.