One of the easiest way to install your own VPN is to use a piece of free software called Streisand. It is a remarkable open-source project that allows you to set-up and deploy your own VPN server with the minimum possible fuss.
Streisand is especially easy if you have a server account with Linode, DigitalOcean, Amazon EC2, Google, or Rackspace Cloud. To install, you download Streisand, and enter your account passwords for your VPS. After about 15 minutes of installation, you get a html page with VPN connection instructions.
Streisand is auto-updating, so it takes care of its own security updates.
Another Option: Algo
An alternative to Streisand is Algo VPN. It is described as “a set of Ansible scripts that simplify the setup of a personal IPSEC VPN.” I haven’t tested Algo. The Linux version is said to be somewhat difficult to use, but I’m told that the Mac, Windows and mobile support is much stronger.