A virtual private network (VPN) extends a private network across a public network, and enables users to send and receive data across shared or public networks as if their computing devices were directly connected to the private network. Applications running across a VPN may therefore benefit from the functionality, security, and management of the private network.[1]
Spies—and, more frequently, advertisers—can glean a lot about your movements online. By capturing your IP address, an observer can divine your approximate geographic location. With a VPN it's a different story. Because your web traffic appears to be coming from the VPN's server and not your computer or mobile device (yes, there are Android VPN apps and iPhone VPN apps), any observer will see the VPN server's IP address and not yours. That makes it much harder to correlate your movements across the web.
OpenVPN: OpenVPN is very secure, open-source and widely used. Most VPN services support it, but except for Chrome OS and Linux, few operating systems do. This protocol can be used in either TCP (web) or UDP (streaming) mode; the latter is sloppier but faster. You'll need either the VPN service's client software or one of the many free alternatives. Either way, you'll still need to pay for the VPN service.

There are lots of good reasons why you need a VPN. The most obvious is that routing your traffic through an encrypted tunnel means it is much harder for people on the same network as you—say, at a coffee shop—to snoop on your activities. If the person who owns the network is a bad guy, spying on your activity and hoping to snatch a password or two, they'll also be foiled by a VPN. This also protects against a lot of other scary scenarios, like DNS poisoning. With that kind of attack, you type in a legitimate website URL but are forwarded to a phishing site designed to steal your information.
There are several different VPN protocols, not all of which are used by all of the VPN services we reviewed. Most operating systems have built-in support for at least one of these protocols, which means you can use that protocol — and a willing VPN service — without client software. The full-fledged VPN services have online instructions for how to do this, as well as how to set up routers to connect directly to the services.
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.
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