Some routers support VPNs (usually OpenVPN) out of the box. Sometimes you can also install third party firmware onto your router.

Installing DD-WRT onto Cisco-Linksys WRT54G Wireless-G Router and setting up an OpenVPN Server on DD-WRT and its clients on either Desktop PCs or another DD-WRT box:
http://www.dd-wrt.com/wiki/index.php...sy_way)_v24%2B