I don't really see the reason to bring your own connection to the party? Sure if the OP has issues with getting a connection than that is one option, and would be more secure than open wifi from the standpoint of other users of the wifi sniffing his traffic for stuff in the clear.
So to clarify the issue - is other open wifi users sniffing traffic and gleaning information from stuff sent in the clear. Be it a misconfigured website that does not https the login (sad to say like neowin). Or snagging the cookies and highjacking a logged in session, etc.
So to mitigate this specific problem, then yes a vpn to a location off the wifi network would be simple easy solution. This could be as simple as ssh session to a location outside the hotel and tunneling your browser traffic through that session. This takes 2 seconds to setup with putty and any ssh connection you might have. School, webhost serverver, vps, home, etc.
Or you could run actual vpn. Be it your home router supports it or you run a server on your network for it, etc. Now my router is pfsense - which has multiple vpn solutions built in. So I run openvpn on 443 tcp and the standard 1194 udp port.. You never know where you might not get udp ports outbound, this is why I like the 443 option. If you have internet access, its pretty good shot that 443 is open. The suggested ipsec vpn to a pix while that is a great solution - not all locations are going to allow a ipsec vpn which requires protocols 50 and 51 and some ports outbound that are not really standard - quite often you need static source port nat on the udp 500 port for passthrough, etc. I have been to some hotels where you have to ask for a special connection to be able to use that sort of vpn.
Where as a ssl based vpn normally can bounce off a proxy even.. So it a more robust option in my opinion.
If you don't have a location you can run your own vpn connection - then sure you could sign up for a service. Not a real fan, because now your routing all your traffic through a 3rd party that may or may not be reputable. Then is also Tor as an option - it is free, and would protect you from local wifi sniffing, etc.
If you can not run the vpn/ssh connection at home - or if you want a safety net for if your home connection is down. I would suggest you find a lowend sever for such duty. I have one that cost only $15 year - now it only allows for 500GB of traffic a month. But hey my home comcast is suppose to have a 250GB cap, so doesn't seem like an issue. Works out great as a vpn/ssh endpoint - I mostly use it for testing and you just can not beat the price.http://www.lowendbox.com/http://lowendstock.com/
BTW for those tablet users - openvpn has released official client for ioshttps://itunes.apple...ect/id590379981
There have been options for openvpn for android for quite some time, but it was nice to see finally offer something for ios that did not require jailbreak/root access. And here is the official android openvpn client https://play.google....openvpn.openvpn
Openvpn server can be as simple to setup as launching a VM for your fav vm host, be it virtualbox, vmware, hyper-v, etc. If you router does not support it.