How good are they?
Do they conflict with the various third party firewalls?
Do they use HTTP or the more secure HTTPS?
Do a little reading from the suggestions listed at:
http://forum.avast.com/index.php?topic=19387.msg884906#msg884906
Well I’ve never tried the examples listed in Bob’s link but have tried ‘HotSpot Shield’ for few months and ‘Ghost’ also for few months.
There is no doubt if you don’t pay for the service and stick with “Free” you so drop in security and allowable traffic.
Now I have always found some slow down on my browsing when using a VPN. Also, finnicky stuff can occur with your firewall and networking.
I’ve never paid for a VPN so can’t speak to the paid service.
I have since been satisfied with Opendns PR.
Did consider buying and trying the Avast Secure but because I don’t see any response to problems from users in the forum, I decided not to pay for something there seems to be ‘no support’ for 8)
Depending on what you want in a VPN, Spotflux may work and it’s free. Like any free VPN, it will be slower than your broadband connection. Another caveat is it requires that Java is installed. Otherwise, it’s straight forward and requires no registration or setup, other than installing their software. You may have to allow Spotflux permission if your firewall or HIPS program asks.
http://www.spotflux.com/vpn.htm
http://www.spotflux.com/#howitworks
Your link is why I started this thread. I know enough now to not see any advantage for having a VPN client. 
That all depends. If you’re on an open WiFy, it’s a good idea. If you’re tethering from your cell, you don’t need it.
Thanks Bob! 8)
Glad to help.