I've been considering running all my mobile data through a VPN for better security, and saving all of it so I can analyze anything after the fact. Anyone doing anything like this?
I am often dependent on a high-latency GPRS link, and the overhead of establishing a tunnel using OpenVPN or SSH (e.g. sshuttle) is prohibitive. OpenVPN is very likely to timeout before it can negotiate a TLS session. This is one of the major reasons why I wrote my own VPN software[1] using NaCl. Deterministic public-key encryption means that there is no negotiation required at startup. The tunnel is therefore ready to use as soon as the program is started. To me, that's the difference between a usable connection and nothing at all.
OpenVPN has a tuneable keepalive interval. I think the default is 10 seconds, which is not so good for battery. But if you set it to 10 minutes, that would be fine.
(I bet the roaming between wifi and cellular data could be a problem, though.)