There's a lot of VPN providers out there. Some are free, some are for a fee, some report to the government, some inject ads int your HTTP, some are in other countries, you might not have any real promise of security when using these services.
How do you go about shopping for a VPN provider that won't just sell or give away your data? What criteria should I use? Is setting up my own VPN through a web host somewhere a more secure option?