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VPNs are useful if you travel or connect to unknown or untrusted wireless access points, etc. Basically all traffic is encrypted and tunneled over the VPN and exits to "the world" from the other end point of the VPN.
I'm too lazy to do it, so when I need that functionality, I use a SSH tunnel and either create a SOCKS4/5 proxy or simply forward X11 over the SSH tunnel.
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