If you want to set up your own with OpenVPN or a VPS you would be in control of everything (within the limits of your software and hardware capabilities of course) but that's also the downside - you take care of everything. With a client you're off in one click. There are legit providers that offer high security, no logging, good access, and all those perks for real. You just have to dig a bit and ask the right questions. I made my selection that way and I'm happy with it.
