In A Nutshell
Setting up your own VPN server is fairly easy, especially if you are familiar with the Linux terminal. You can set up a VPN in as little as 20 minutes, by renting a VPS (Virtual Private Server) from a company like Vultr and installing OpenVPN. The install is “one-click” and the cost is about $5 per month.
OpenVPN is a free, open source application that allows you to install a VPN server and client. OpenVPN is capable of traversing NATs (network address translators) and firewalls.
Installing OpenVPN is straightforward, but it helps to be technically inclined to perform this installation.
Obfuscating Your VPN Connections
If you need to obfuscate your VPN connection, see my article How To Hide Your OpenVPN Connection.