I use my own broadband connection at home - easier than constantly fiddling with the filter etc (handy for viewing the blocked sites and for anything that can use a socks proxy - I can even stream my itunes collection down the tunnel from home).
Of course it means having a box running openssh on at home - I've had my router doing this running dd-wrt firmware and I've also used a linux box like the NSLU2. Of course you could use a windows machine as well.
As well as proxying web browsing etc using putty, it's also handy for accessing my vista box if the need arises (wake on lan, remote desktop) without leaving the vista machine exposed to the net.