VPNs are basically a standard connection, usually serviced through a third party, with some major differences.
The wire is formed by encrypting your traffic. Everything you send to the VPN and the VPN gets and sends back to you is entirely encrypted. In theory, this means interlopers aren't privy to anything you access.
VPNs also have the effect of masking your IP, as it's technically the requesting machine (the server you connected to privately) that is actually pulling the information - so they only see its IP. Many VPN providers for privacy will aggregate users so they can't tell who's independent IPs log to the server using the external IP - it creates sort of a crowd ambiguity.
If you're interested in a VPN for privacy...