If you use a different phone platform, note that the iPhone, Blackberry, Windows Mobile, and Symbian also support virtual private networking. The Nokia built-in VPN client requires Nokia's VPN policy servers. At this time, Windows Phone 7 does not include support for the common VPN protocols (PPTP, L2TP/IPsec). It only supports SSL VPN (SSTP) through a Unified Access Gateway (UAG) using Exchange (on site or hosted).
More about Android VPN.