I pay for VPN access, so to ensure all my traffic (regardless of device) goes through the VPN, I have a VM running on my home server (it could run on the server itself) acting as a gateway. All internet traffic goes through the VPN. Doing this meant I had to take DHCP away from my router (or configure each host's gateway manually) but for the setup I run, it's beneficial.
The other advantage is that I can log into the machine via SSH and run tcpdump or Wireshark and get an immediate idea of what traffic is passing between my network and the internet. Because all my traffic goes through the VM, it's the closest to running packet sniffing on a home router as I can get.