I just learned that Windows XP has a built-in VPN (accessible via PPTP remotely).
1. Windows Control Panel -> Network Connections
2. New Connection Wizard -> Next.
3. Setup an advanced connection -> Next.
4. Accept Incoming Connections -> Next.
5. (leave all the parallel ports unchecked) -> Next.
6. Allow Virtual Private Connections -> Next.
7. Choose whichever users you want to access the VPN.
One small detail: you have to have a router/firewall which allows incoming VPN (I understand it's a different packet type). Mine does, so it's easy. The alternative is to leave your computer DMZ'd but I don't recommend it.
Also, XP allows only one incoming VPN connection at a time (probably similar to remote desktop on XP Pro). If you want something better you'll have to install a real VPN or use one of the Linux-supported ones.
Now this allows such things as playing your iTunes library from work (albeit without access to your corporate network). And printing and filesharing remotely, which are all nice.