Dan Goodin has written an interesting article for theregister.co.uk about the benefits of using a personal VPN for your wireless internet traffic.
There are some downsides to running a VPN server at home. One of these is that all of your data must travel via your home PC/server and most peoples broadband connections will limit the speed that this will work at. The maximum speed of your VPN connection will be limited by the upload speed of your home broadband – which is normally quite slow. Also, dynamic IP addresses, port forwarding and NAT on your broadband router and having to leave your home PC powered on all the time could be a pain.
Another alternative could be to run OpenVPN on your own server (or vps) at a data center or, a cheaper alternative, to buy access to an OpenVPN server that has already been setup and configured.