Many of the larger providers have detailed instructions on their web sites on how to get their VPN running on various router operating systems. Look at their instructions and take what you need from either DD-WRT and/or Tomatoe
PPTP is the easiest to set up but not very secure. It is secure enough to hide your IP from your local ISP.
OpenVPN is the most involved to set up and in addition to hiding your IP securely (maybe ) encrypts your transmissions.