These brief instructions will allow you to build a personal VPN for
your traffic from anywhere in the world back to your home or server
network.  Why?  Keep local admins from seeing your traffic, avoid the
pitfalls of public WiFi surfing, and utilize home resources on the road.

This can be on any OS, on any network. These instructions are specific
to a Windows system, but you should be able to easily adapt for Linux
and OSX. 

Download and install OpenSSH on a server system and your client system.  
On the server system, configure openssh to listen as a daemon, then
produce ssh keys for yourself.  This process is well documented online.
You will need an always on broadband connection for this to be useful
and worthwhile, but it is possible to use a dialup in the same way.  If
you don't have a static IP address, use a DynDNS account and local
DynDNS updater to update your account each time your IP changes.  Then 
you can connect to 'coolguy.dyndns.net' and reach your home IP.

   On the Windows client system, execute the following:
   "C:\Program Files\OpenSSH\bin\ssh.exe" -i C:\mycerts\ssh2\id_rsa -Nf user@my.system.com -D 1080

   On the OSX or *nix client system, execute the following command:
   /usr/bin/ssh -i /home/username/.ssh/id_rsa -Nf user@my.system.com -D 1080

When you execute this command, a local ssh tunnel will be created back
to your home system.  The local tunnel on your client system will listen on
port 1080 and support the SOCKS5 protocol for proxy.  Now you need only
configure your applications (IE, Firefox, Thunderbird, Pidgin, etc) to use
this proxy for Internet bound traffic and your VPN is complete.  Surf the
web as usual, and your traffic will all be routed through the ssh server.
You can verify this at one of the many IP address verification sites.  In
addition to surfing securely through another system, you have the advantage
of 'local' access to the remote resource.  So, if you run this in a corporate
environment inside of a network that allows inbound ssh (a no-no!) you could
reach your intranet sites while on the road.  Think of the possibilities....

Links:
http://www.openssh.com/
http://www.openbsd.org/cgi-bin/man.cgi?query=ssh-keygen
http://www.dyndns.com/
http://www.dyndns.com/support/clients/
http://www.whatsmyipaddress.com