If you have two computers behind NAT, the ZeroTier will help you punch through your NAT and let the computers talk to each other directly. It does it extremely well, and I haven't seen anything like it.
Cool thing is, it can do everything that a normal VPN can. When the other commenters talk about them hosting the 'server'. They're talking about configs, etc. Traffic doesn't usually go through their servers. Just in rare cases where your ISP is really hell bent of preventing you from UDP hole punching.