Very interesting discussion here. Here's my two cents:

1. Dedicated Servers
a) Leaseweb is good if you want to use it as seed box to international P2P sites but for VPN, probably not so good since TM routing to Europe is by going to UK then US then EU. If you do go with this, then go for 10mbps dedicated if no budget, but if money no problem then go for 100mbps dedicated.
b) Server4u - cheap and good, with location either in USA or EU
c) fdcservers - probably a better choice if you looking to host outside malaysia. personall experience, they have tip top service and quite fast respond in rebooting, reinstall. Actually my VPN is now in operation and running very very fast, probably serving 9-15TB a month. Btw, VPN is not illegal, why are u guys talking about legal or not legal when what you are doing is probably use VPN as gateway only.
d) if not for the price, the best VPN should be locally hosted in TMNET datacenter, with TMNET IP. Malaysia has no MPAA or RIAA or whatever A agreement but the price is way high for a dedicated server. Shinjiru got a good rate compares to others. I probably be testing their servers later this month for uploading purposes.

If you looking for cheap and personal use, just subscribe to my vpn services or a few others currently available.

if you looking for more information, www.webhostingtalk.com probably best place to search for an answer.

Now back to the topic, Setting Up Your Own OpenVPN, you need to get a separate server to do this and this server can be anywhere on earth except your own pc at home, with the best choice in Malaysia if money no problem.

If for personal use and you dont want to share, then get a VDS which probably cost you less than RM80 a month with 1-2TB traffic else you can subscribe to vpn services and pay between 25-50 a month.

If you do go for VDS, then there is no need to install OpenVPN, just install socks4/4a/5 proxy and you are done. I don't quite understand why the hypes on vpn when actually socks can do the job without vpn. It takes 2 minutes to install socks server.

If you have less than 5 persons, just install socks proxy will do to block TMNET from blocking you.

I would probably go for socks server if there is a better managed socks server out there and forget about vpn.

Installing and configuring OpenVPN is quite straight forward if you are network savvy. OpenVPN Howto is one of the best resources.

Read guidelines in openssl and openssh as well.

Again, if you are willing to spend probably more than RM600 a month and put in effort to manage and admin the VPN server, then you can install OpenVPN, or just pay between RM25-50 and forget about installing your own VPN.

As to why Malaysia is the best choice, that is another topic and btw, local private torrent site like bolehbit.net also can help you maximise your tm streamyx.

And please dont install client OVPN first without knowing where the server is.