If you need a VPN server you can control, OpenVPN is the solution and you can install it easily using a script available on GitHub.

  1. Prerequisite: open port 1194 UDP in your VPS/server network firewall.
  2. Download and execute script (GitHub repository).
    wget https://git.io/vpn -O openvpn-install.sh && sudo bash openvpn-install.sh
    
  3. You can press Enter to all prompts, but better if you read them before doing it.
  4. When script ends, you will see this message:
    Finished!
    The client configuration is available in: /root/client.ovpn
    New clients can be added by running this script again.
    
  5. Copy VPN key from /root/client.ovpn to a secure place (you will need it to connect to the VPN server).