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You can run your own VPN server easily enough.

I haven't tried to in a while, but every time I've tried it's been a huge pain with crufty looking software and poorly written walkthroughs.

What do you recommend setting up?

If I were to do it myself I would have a look at Algo from Trail of Bits: https://github.com/trailofbits/algo

Yes this is a good option. What I used for years. You’ll maybe end up hosting on Vultr or DigitalOcean, so if you’re worried about privacy or identity, you’ll want to use a prepaid debit card or gift card or crypto to pay for the service. I think Vultr takes crypto. Unsure if they do any KYC these days.

I use a Unifi router which has a feature called Teleport that lets you create and connect to a Wireguard VPN with very little friction.

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