The free ones are generally rubbish.
In particular I advise steering well clear of using Hotspot Shield, which slowed my laptop to a crawl with all of the ads it sent me. Even when I paid to upgrade to the full service (where the ads should have disappeared), I still kept getting problems with them.
Further, the free services often don't let you select the location of the end server which your internet traffic is routed through. If, say, you want to use a VPN to stream US video services, it's not going to help much if your VPN decides to route your connection via Poland (rather than the USA)!
Other free services, such as TunnelBear and Steganos Online Shield, work well but come with quite a tight limit on how much data you can pass through them each month. (So they can be useful for, say, catching up on an odd programme from US TV but they're no good for regular use).
This article, from PC Mag, looks at the various free options that exist:
http://uk.pcmag.com/software/4328/feature/protect-yourself-with-a-free-vpn-service
However your best option is almost certainly to fork out for a full-service VPN, with NordVPN at $99 for 3 years (equivalent to about £2.10 per month) possibly being the best service on offer:
https://nordvpn.com/special/deal