[UPDATE] There seems to be a bug in Snow Leopard where changes made to the Airport interface's MTU do not persist - it just jumps back to 1500 immediately. To make the change stick, you need to do this in a terminal window;
$ sudo ifconfig en1 mtu 576
(Assuming en1 is your airport interface, and 576 is the MTU value you want)
Sadly, the change will not persist through a reboot, so you'll need to run the command whenever you boot up your mac.
I'm not a big fan of being spied on, so I've signed up to IPredator, the VPN service run by the people who brought us The Pirate Bay.
Setting it up on OS X is pretty trivial, and I haven't noticed much, if any, difference in network speeds. But, I did find myself unable to access certain websites. Notably my Basecamp site, which is quite inconvenient. I've got HTTPS turned on, and when using my VPN connection, I couldn't load the login page - it fails as soon as it tries to do the TLS handshake. Turn off the VPN, and everything is just fine. Some other sites behaved in a similar way - even some sites that weren't using HTTPS (although digging into the page content suggests that it is https elements on the page that were causing the browser to hang).
37Signals support, sadly, were no help in this case. But, I did find this page which suggested changing the MTU (Maximum Transmission Unit) setting of my TCP/IP connection.
That page talks about how to do this on Windo$e, but I found that the problem went away if I made the corresponding change on OS X. So, I'm posting this here in case anyone else finds it helpful.
First of all, in "Network Preferences", select your main network connection (I'm using wired ethernet), and click "Advanced".
In the advanced options, click "Ethernet" and look for the MTU setting. Change it from "Standard (1500)" to "Custom", and enter a lower value. In my case, I'm using 576.
Click "OK", click "Apply" and then disconnect and reconnect your VPN connection.
That's it. I can now access my Basecamp site via my IPredator VPN connection. I hope this helps someone else.
Have a happy & private Internet!