[culturestate]

If you're on a Mac, it's nearly plug-and-play — I use a small menubar app called sidestep[1] that automatically tunnels over SSH, but there are also a few (Viscosity comes to mind) that work in a similar fashion with OpenVPN.

There may be similar bits available for Windows, but I haven't looked into it there in some time.

1. https://github.com/chetan51/sidestep

[tcas]

Haven't used sidestep, but sshuttle [1] is a nice command line utility that does the same, just not automatically.

Much easier than setting up a VPN server.

[1] https://github.com/apenwarr/sshuttle

[icebraining]

It's easier (and I'm a fan as well), but setting up an OpenVPN server with pre-shared key is very easy too. It's essentially a matter of apt-getting openvpn and writing a three line config file: http://openvpn.net/index.php/open-source/documentation/misce...

[culturestate]

One of the advantages of using SSH is that it almost always works, even in environments (think China) that actively block detected VPN connections. SSH running on port 443 looks a lot like HTTPS.

[IgorPartola]

Beware: http://serverfault.com/questions/337791/if-i-am-using-ssh-fo...

In short, if I can hijack your DNS queries, I can do evil things to you even if I cannot directly MITM your HTTP/HTTPS traffic.