Whereas most providers say they log nothing, that’s not always the case. Some record very little data like the day you subscribed, the amount of data you’ve consumed, and delete those logs when you end the session. Other providers log your IP address, the servers you used, and store those logs. If they’re based in the US, UK or any other country with data retention laws, they can be compelled to hand over that data to law enforcement.
Using a VPN will prevent most kinds of DNS attacks that would redirect you to a phishing page, but a regular old page made to look like a legit one in order to trick you into entering your data can still work. Some VPNs, and most browsers, are pretty good about blocking phishing pages, but this attack still claims too many victims to be ignored. Use common sense and be sure to verify that websites are what they say they are by looking carefully at the URL and always visiting HTTPS sites.
When we say that in theory VPNs can’t be intercepted, that’s because VPNs are like any other form of security: if you use them on a device that’s already been compromised by malware such as keyloggers or other security threats then they can’t do their job properly. If you’re on Windows, then good quality, up to date anti-virus software isn’t a luxury. It’s absolutely essential.
We're not cryptography experts, so we can't verify all of the encryption claims providers make. Instead, we focus on the features provided. Bonus features like ad blocking, firewalls, and kill switches that disconnect you from the web if your VPN connection drops, go a long way toward keeping you safe. We also prefer providers that support OpenVPN, since it's a standard that's known for its speed and reliability. It's also, as the name implies, open source, meaning it benefits from many developers' eyes looking for potential problems.
While you're connected to a VPN, all your network traffic passes through this protected tunnel, and no one—not even your ISP—can see your traffic until it exits the tunnel from the VPN server and enters the public internet. If you make sure to only connect to websites secured with HTTPS, your data will continue to be encrypted even after it leaves the VPN.