First you need to not allow the VPN protocols (this is not a port number) used by IPSEC and PPTP. Many times it is as simple as turning off the vpn passthough feature. You also want to block some of the common ports used like UDP 500.
Many vpn try to use http or https. So first thing is to block UDP to port 80 and 443. This will force the clients to use TCP which does not perform as well.
Now most the vpn sites use openvpn. They try to make it seam it runs on https but it really does not it just uses port 443. Because it is not really running HTTPS many firewalls can now detect openvpn by the invalid way it sets up the HTTPS session and block it.
What you are now left with are true HTTPS vpn. There are not a lot of...