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OpenVPN is usually a good choice for a VPN server. Spin up an Ubuntu 14.04 droplet, and follow this tutorial: How to Setup and Configure an OpenVPN Server on Debian 6 | DigitalOcean.
Because the tutorial is written for Debian 6 and you’re running Ubuntu 14.04, you will need to the run the following commands:
sudo apt-get install easy-rsa
sudo mkdir -p /etc/openvpn/easy-rsa/2.0/
sudo cp -r /usr/share/easy-rsa/* /etc/openvpn/easy-rsa/2.0/
instead of
sudo cp -r /usr/share/doc/openvpn/examples/easy-rsa /etc/openvpn
Let us know how it goes! :)