VPNs create a secure communications channel by encrypting all network communications over an insecure network (Internet, for example) and allow circumventing geo-location restrictions by switching between various exit locations.
And while most VPNs are secure, not all guarantee complete privacy. Since all information travels through a VPN's servers all that data can be logged by the provider. Depending on the jurisdiction a VPN falls within log retention laws might force the provider to keep the logs in case government chooses to access them and some services might simply choose to keep logs on their own. This information can usually be found in Terms of Service. Unfortunately, there's no way to know for sure if the VPN service is or is not keeping logs unless it's self-made, thus trust in the service is a requirement.
Good VPNs will have good speeds and provide a good selection of exit locations and connectivity protocols. Connectivity protocols such as SSL/TLS, PPTP, IPSec, L2TP all provide secure connections and differences between them don't matter much for the average user as they're highly situational. Exit locations can be important if working around geo-location restrictions is important.
Speed will vary depending on a few things and it should be mentioned that the maximum speed is still limited by the ISP. The most important factor affecting speed are distance between the ISP and VPN server and in most cases where the situation is favorable will result in about a 10% hit to speed. Of course, each exit location will most likely have different speeds so it's worth trying out various exits to see what works best.