A VPN (Virtual Private Network) protects your privacy by routing all your Internet traffic through an encrypted server that your ISP (or hackers) can’t see. Setting up and using a log-free VPN service from your PC desktop is straightforward enough, but other devices in your home such as your game console and set-top box don’t let you install VPN software.
One solution is to buy a router that can connect directly to a VPN service, protecting all the traffic on your home network a single stroke. But it could be cheaper (and simpler) just to route all your traffic through a Raspberry Pi that remains connected to the VPN at all times.
Source: How to Use Raspberry Pi as a VPN Gateway – Tom’s Hardware