Starkrun: spin up a linux VPN in Amazons EC2 its $0.065 per Hour on demand, thats it... or you can pay like $4 a month for a permanent VPN solution in the cloud. Its not anonymous but its fully encrypted and safe.
Sorry missed the free, there is a Tor browser out there... or something like Tails for when your on the go. But i would never trust any free option. might be safest to make your own VPN connection to your home machine.
here is a tutorial The lifehacker article is a good place to start. It recommends Hamachi and that is fine for most gaming needs. (It can even do IPX from what I've been told.) However that is a hosted provider service. So if you are paranoid it may not be the way to go.
OpenVPN is recommended the most in the linux world, and I would assume that it would work well for windows users too. (Looking at the OpenVPN site
http://openvpn.net/ it has android and mac clients too.)
Tor is not really for gaming and if you look at their site,
http://www.torproject.org/ ,it's really only for annoymous web browsing. (I use it actually.) Tor only disgusies your public IP address, It can be tracked. Also tor only encrypts data between the tor entry node and exit node. I.e all of the data from your computer to the tor entry node, and all data from the tor exit node to the destionation (like gog.com for example) is not encrypted unless you use external encryption like SSL. Really Tor is not a VPN it's just an annoymous browsing service. (It's also much slower due to the bouncing of your connection. Think Uplink style connection building.) Also You CAN be identified on Tor if you send compromising information through it. (Credit card numbers, web site logins, your real name, etc.)
Of cource if you are feeling adventurous you could try IPSec. My recommendation is OpenSwan. Wikipedia Link:
https://en.wikipedia.org/wiki/Openswan But OpenSwan requires a linux operating system to work, and is not the easist thing to configure in the world. (I had to guess at it due to the lack of documentaion.) OpenSwan is however one of the safest routes to take given that everything is hosted by you, as a national security letter can't do anything. (That won't stop the police / FBI / CIA / whatever multiletter agency that you have where you live, from demanding your keys if they want them.)
I personally use openswan as I'm kinda a computer nut, and setting it up with no help took me three months, but it is very useful. Hope this helps.