OpenVPN road warrior installer for Debian, Ubuntu and CentOS.
This script will let you setup your own VPN server in no more than a minute, even if you haven't used OpenVPN before. It has been designed to be as unobtrusive and universal as possible.
Run the script and follow the assistant:
wget https://git.io/vpn -O openvpn-install.sh && bash openvpn-install.sh
Once it ends, you can run it again to add more users, remove some of them or even completely uninstall OpenVPN.
I want to run my own VPN but don't have a server for that
You can get a little VPS for just $2.99/month at Bandwagon Host.