I have been using VPN for a while previously to go to USA servers which improve performance (and security) when doing bittorrents. Stopped using it for a while but recently, I needed to do some work in Hong Kong servers so tried to find one which has a Hong Kong server to speed things up. Finally, I found one really good one which is not cheap but affordable. It is from Overplay.
With the recent madness about Firesheep and its ability to hack into your various networking and other accounts, I think a VPN is very important when you are surfing out in public wifi networks (e.g. Starbucks). What I like about Overplay is that for one single price of USD9.95, you get a whole range of servers to choose from. Unlike some companies, which make u bundle up different servers from different countries. Some even impose switching rules (i.e. how many times you can switch to a different server a month). For Overplay, it is just simply choose and switch.
For OpenVPN (a more secure method), it comes with installers in Windows and Mac. I used both. It was simple. A company I know actually need you to do some configuration work in order to coexist (i.e. use both Windows and Mac at different times). Crazy. For Overplay, I used it easily between Windows at home and Mac at public places.
And last night, I even tried on iPhone and it worked really well.