I've got 3 low quality VPSs, priced from $0.99 to $2.50 per month, that I picked up on a whim over the years from deals posted to
http://www.lowendbox.com (no affiliation). On one server, I have squid running and bound to localhost. On my machine, I have autossh set up to maintain a constant port-forwarding connection established (via port 443 for maximum firewall/filter accessibility) with the squid server. I have my local web browsers proxying over that connection.
So I'm pretty safe from snooping by my employer, home ISP, or whatever 133t hackers are sniffing traffic at McDonald's when I'm browsing and sipping a coffee.
It's not the most elegant solution, but it does the trick. I supposed some day I'll mess around with OpenVPN (which I have deployed before, and do really like), but only when I'm bored or otherwise have nothing else better to do with my time.