At the office we have set up a VPN server to allow secure connections from the outside. As I have rooted my HTC Hero with Cyanogen's custom ROM I have the ability to use OpenVPN with it, so I've decided to try it to connect to the office's VPN.
The process was quite straightforward after installing the OpenVPN Settings app from the Market. The only issue was that the DNS were not updated with the info from the VPN connection.
For setting up the DNS servers to use you have to run these two simple commands:
# setprop net.dns1 your.vpn.dns.ip
# setprop net.dns2 your.second.dns.ip
And that's all, hope it helps.