To this end, I recently purchased a subscription to an anonymous VPN service called PrivateInternetAccess. It's relatively cheap, and reasonably secure, but, like all VPNs, configuration is very frustrating. I have seven devices on my network. Some of them need to be remotely accessible, which is very difficult over an annonymous VPN. Others need anonymity for some services, and direct connection for others. Unfortunately, VPNs make this complicated. I could manage seperate iptables on each machine, to route specific traffic through 7 separate VPN connections, but the management would get really complicated.
So, instead, I bought an inexpensive Linux device called a PogoPlug, and set it up as a stand-alone VPN client that serves an HTTP proxy and a SOCKS proxy. It has several safeguards to guarantee anonymous access, and only draws 5W of power. I call the device The AnonyBox.
Now, all I have to do is point the devices and services that need anonymity to the AnonyBox, and I'm done. It's a cheap and easy way to manage VPN between multiple devices.
I also wrote a how to guide, for others to set up a similar device: