I’ll give you one example of how a VPN can be useful. Youtube has some programs that can only be viewed in Europe, or the originating country. Through the use of a VPN, you can fake your browser into telling the site you are going to that you are from another country, thus, you could watch Youtube videos not accessible to people in the United States.

Incidentally, this is one way people have started Facebook accounts, and made it look like they were from the U.S. when in fact, they were not.