With firmware version 1.1.3 or later you can easily connect to a VPN connection on an iPhone or iPod touch. This can be setup by following these steps:

Go to the Settings Application
Select whether you are connecting via PPTP at the top

In the Server field type:

  1. For US server: us.turnkeyvpn.com (Premium accounts) or
    usfree.turnkeyvpn.com (Free accounts).
  2. For UK server: uk.turnkeyvpn.com (Premium accounts) or
    ukfree.turnkeyvpn.com (Free accounts).
Go to General > Network > VPN > Settings
Enter your account name, password, encryption level let it “Auto” and select“Send All Traffic”
Press Save
You can now connect to the VPN