By not using a VPN you're leaving yourself open to all manner of attacks (take for example the recent iOS SSL Cert validation issues as an example, but also consider the fact that an attacker could inject malicious content to attack your system over any HTTP traffic - or invalid HTTPS traffic if you make the connection).
At the very least you should use an SSH tunnel or some form of transport to protect all of your outbound traffic when in a hostile environment.
[Shameless Plug] I quit my day job earlier this year and started building https://www.getcloak.com/ with two friends. We're caffeine addicts who dog-food our product; that's why we work out of coffee shops here in Seattle. (You can find our office by following @seafreemob on Twitter. ;-)