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There are two ways,by using commercial service or by using your vpn software installed on your vps/dedicated/whatever server.
Using commercial service:
Pros:
-no need to have technical knowledge
-large selection of geographical locations
-cheap
Cons:
-they will track what you visit,and show your logs to authorities if needed
-can be slow,timing out and generally be unreliable
Using your vps/dedicated server:
Pros:
-You can have full control on it,plus you can use a resource which you already have,which make it cheaper
-stable and will work always 100% as you are only user
-nobody see what you visit
Cons:
-need to be technical savvy to make it work
-If needed more geo locations,then it is more expensive compared to commercial service
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