Many people now use a VPN routinely whenever they're online. A VPN is a Virtual Private Network and is basically a way to extend a private network across the internet. This has many advantages including ensuring your data is safe and secure because all data is encrypted and protected across the VPN.
For privacy and anonymity it's pretty much essential online. Without one, all your web requests - every web site you visit, every video you watch and graphic you view are all logged at your ISP. In addition most of the web sites you actually visit - record and log your IP address. When you surf via a VPN none of this is possible, the ISP and websites see nothing but the the VPN server, and all the data is encrypted.
If you work for a multinational you'll no doubt be already using one, most companies extend their networks using VPNs simply because it's the only secure way to do so. But for private individuals travelling it's well advised too, ensuring safety when you connect via that unknown Wifi network or access point.
The other huge advantage (and why many buy VPN services online) is that it's a hugely effective tool for bypassing internet censorship, filters and geoblocking. Want to use Skype from the UAE? Well just connect through a VPN and it works fine, otherwise you'll get blocked.
Here's some more reading if you want to find our more.