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.
- A Turkish translation can be found here, contributed by agyild.
- There's also this article about VPN services, which is honestly better written (and has more cat pictures!) than my article.