Sweden is a member of the EU [1]. It has a 6-month data retention law [2]. Much safer to route through Norway, Switzerland or even the United States. (I use PIA [3].)
Everyone has different needs. If you are a journalist building up a story against powerful adversaries, then you absolutely find a VPN provider in an impartial jurisdiction. If you are just trying to hide your browsing habits from your nosey ISP, torrent a couple movies, and latency matters at all to you, a local VPN is not a terrible choice.
PIA has been dissed over their promotional practices. And for using weak encryption, which allowed them to minimize resource use, and undercut competition.
But I gotta say that their no-logs victory in court is impressive!
France runs a warrantless mass surveillance program [1]. It is one of the countries our OpSec consultant specifically recommends taking clean computers to. It is labelled, by "That One Privacy Site" as NOT being an "enemy of the Internet" (whatever that means). Difficult to take the rest of its recommendations seriously.
I personally use Cloak as it was easy to set up (https://www.getcloak.com/), but I'll be adding proxy.sh (https://proxy.sh) as my primary soon (on recommendation from a few security minded friends and their logging policy).
setting up VPNs doesn't scale. the entire internet can't be behind VPNS not to mention people with poor internet will not be able to use a VPN effectively