Setting up a VPN on your own VPS is a great way to ensure privacy and avoid the limitations of commercial VPN providers.
The modern "gold standard" for self-hosted VPNs is WireGuard. It is significantly faster than OpenVPN, uses less battery on your Mac, and is easier to set up.
Here is the step-by-step guide to setting up WireGuard using an automated script (the easiest manual method) or Tailscale (the "it just works" method).
This gives you full control. You will run a script on your VPS and install an app on your Mac.