Don't use VPN services.
No, seriously, don't. You're probably reading this because you've asked what VPN service to use, and this is the answer.
Note: The content in this post does not apply to using VPN for their intended purpose; that is, as a virtual private (internal) network. It only applies to using it as a glorified proxy, which is what every third-party "VPN provider" does.
A Russian translation of this article can be found here, contributed by Timur Demin. There's also this article about VPN services, which is honestly better written (and has more cat pictures!) than my article.