As the quote taken from Wikipedia states, a VPN is a service used to connect to a private network. This comes with several advantages. Even though unencrypted VPN's exist, most of the services you'll encounter are encrypted, this is often the main selling point for a lot of vendors, security. It is a reliable way to access intranet resources outside the reach of a private network such as your workplace's wifi. VPN's are popularly used as a way of circumnavigating censorship or geo-restrictions because of its encrypted network traffic. In the case of a geo-restriction, you will find a VPN exit-node located in the country of your choice, let's say the USA, to "fool" the target service into believing you're present within the county's border. Smart detection systems will however already have detected the true use of this exit node as the possibility is big that thousands of other people will be using the same node for similar reasons. It's also not uncommon for service providers to track your usage patterns, and they'll, therefore, know that your location jumped from A to B in a matter of seconds.
As for this, the eight security lab, I'll go through the process of installing and connecting to a VPN service, and to utilise Wireshark to look at the differences between an unencrypted and an encrypted connection.