PPTP (Point-To-Point Tunneling Protocol). This is one of the oldest protocols in use, originally designed by Microsoft. Pros: works on old computers, is a part of the Windows operating system, and it’s easy to set up. Cons: by today’s standards, it’s barely secure.
Overall, SSTP is a very secure solution.
L2TP/IPsec (Layer 2 Tunneling Protocol). This is a combination of PPTP and Cisco’s L2F protocol. The concept of this protocol is sound — it uses keys to establish a secure connection on each end of your data tunnel.
SSTP (Secure Socket Tunneling Protocol). This is another Microsoft-built protocol. The connection is established with some SSL/TLS encryption (the de facto standard for web encryption these days). SSL’s and TLS’s strength is built on symmetric-key cryptography; a setup in which only the two parties involved in the transfer can decode the data within.
Avoid a provider if this is the only protocol offered.
IKEv2 (Internet Key Exchange, Version 2). This is yet another Microsoft-built protocol. It’s an iteration of Microsoft’s previous protocols and a much more secure one at that. It provides you with some of the best security.
OpenVPN. This takes what’s best in the above protocols and does away with most of the flaws. It’s based on SSL/TLS and it’s an open source project, which means that it’s constantly being improved by hundreds of developers. It secures the connection by using keys that are known only by the two participating parties on either end of the transmission. Overall, it’s the most versatile and secure protocol out there.
Generally speaking, The more secure protocol you connect through (OpenVPN, IKEv2), the more secure your whole session will be.