Sorry, I failed to mention that I'm using this with a Roku, so I have to have some sort of router in between that and the internet.
A commercial router running DD-WRT or Tomato is an option, but they've gotten crazy expensive these days. Gone are the times you could get a WRT54G for $50. I had the Raspberry Pi sitting in the drawer, so it was free. If I could find a decent router for about $50-$70 that would likely be a better option.
The challenge isn't getting a VPN to work...I've already done that. The challenge is to get just the handshake to route over the VPN and then once the streaming video starts, bypass the VPN to get full network speeds.
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~ John