I was listening to the latest MacRoundtable Podcast this week and heard Allison Sheridan talk about setting up a Mac at her home to act as a VPN server. Seeing as I have a Mac mini I use as a home server and am interested in connecting more securely while away from the house, my ears perked up. Turns out Allison and her guest Donald Burr discussed the setup in depth on episode of 413 of the Nosillacast Mac Podcast. Allison was kind enough to post detailed instructions (warning they're lengthy) on her website.
In short, the process requires a Mac at your home with an always on connection, a $10 program called Viscosity and a couple other free and open source tools Allison details in her post. I haven't tried this myself yet, but it's on my project list for the weekend. There are other VPN services like Cloak which I reviewed from Macworld|iWorld or installing OS X Server. But it seems with a little time and effort and a minimal investment you can setup your own for about the cost of one month of a VPN service.