If you want to set up your own VPN, there are a few other alternatives to OpenVPN.
This is a new generation VPN which works in the kernel-space (instead of the user-space which OpenVPN uses). It works fine on many Linux distributions, and on a few BSD's as well. You could easily install this on a VPS.
This is a VPN developed Jigsaw (Google). The server cannot be installed an ARM device, but the server works fine on any Intel/AMD device. Clients are available for Android, Windows, MacOS, iOS and Linux (desktop). Of all the VPN's, OutlineVPN is the very easiest to install for non-technical people. Some VPS companies have very easy install procedures for OutlineVPN.