Using a virtual private network (VPN) is an important part of strong digital security. A VPN can accomplish several tasks. First, it creates an encrypted tunnel to a remote server through which your traffic transits. This means that anyone inspecting your traffic (from internet service providers to malicious hackers) will capture nothing but unusable, encrypted data. For best security I recommend using the OpenVPN or IPSec encryption protocols. Next, because your traffic appears to originate from a remote server your IP address is not correlated with your browsing. This is important: if you visit a website that logs your IP address they can use the IP address to find your geographical location, your internet service provider, and all your visits to that site. Using a VPN server that hundreds of other people also use makes you less distinctive and protects your physical location. Lastly, VPNs can be used to help bypass geographical restrictions. If you are in a country that blocks certain content you can use your VPN to connect to a server in another country, bypassing geographical restriction.
I recommend strongly against using free VPN services. The recent story about a free VPN known as Hola! last week is an excellent reminder of why paying for a VPN is worth it: Hola! was selling the bandwidth of anyone who had their plugin installed, sometimes to malicious users who conducted botnet activity. This opens users up to a number of security risks. Free VPN providers have also been known to monetize by collecting and selling user information which defeats much of the raison d’être for a VPN.
To determine if your VPN is leaking information about you or how much information you are leaking if you are not using a VPN, Private Internet Access (with which I am an affiliate) has some helpful links. They will test whether your DNS is leaked, if your IP address is leaked when you send an email, and if your IPv6 address is leaked.
Though I like Astrill, Private Internet Access, and WiTopia, there are pleny of great VPN options out there. Most are under $100 per year and offer a great many features. This is a very small price to pay for the disporportionate level of security and privacy they provide.