I mostly use VirtualBox, or VMware in Windows. pfSense VMs make great VPN gateways. VPN and pf setup are pretty easy with their webGUI. Debian VMs also make great VPN gateways, but setup is harder, and their disk footprint is greater.

I've thought about doing it all in one OS, with iptables or pf to control routing. It'd be lots lighter, but more fragile.

Another option, if you want more security against exploits, is Qubes. But the hardware requirements are far more restrictive, and the learning curve is steeper.