- I don't recommend rolling your own on EC2: pick a VPN with a good reputation and a policy of not retaining logs. See: http://torrentfreak.com/vpn-services-that-take-your-anonymit... (you don't have to use torrents to need a VPN, btw!!)
- I recommend using a Debian VM w/ OpenVPN for your private traffic. That way, 'am I using my VM?' is a quick test for whether your traffic is private or public.
- I can't stress this enough: _be sure to firewall your VM from any traffic not to your VPN provider_. If OpenVPN drops its connection, it will fallback to sending packets normally! At least if you firewall, your connection will just die, instead of potentially sending private traffic in the clear. The article doesn't mention this, and it should.
- Be sure not to log in to your usual services on your VPN, or there is a possibility that someone can connect your real traffic and your VPN traffic. I use LastPass with random passwords to manage all of my accounts, so I solve this problem by simply not installing LastPass on my VM, which makes logging in a very deliberate action on my VM.