You really don't have to worry about all this if you're asking.
Most people use VPN for security purposes. Now, when I mention security, there's various kinds. It can vary from hiding from state-attackers, to not wanting to be surveilled, to just torrenting stuff to avoiding a nasty letter from your ISP.
If you have nothing to worry about in the last paragraph, then the other case is organisational policies or accessibility. Routing all client traffic through a companies server because some companies' internal servers only allow requests from whitelisted IPs and drop all other packets. Of course, as a consumer/employee this is not something you have to worry about but it is something for sysadmins, and/or the security person who makes decisions at a company. And looks like there are a few of those in this thread. Hence all these discussions.
If you want to get into using VPNs, I'd suggest getting a server online first, something from digital ocean, AWS or Gcloud. If you want something super cheap, I suggest OVH's VPS. And the best tutorials in my opinion are from Digital Ocean[1]. If you only know how to use Ubuntu, here's[2] what you want.
e: Everybody says that using a VPN is a "good thing" but I honestly can't find a use for one in my day-to-day.