I have no idea how I went for so long without knowing about sshfs, but for the record it rocks. It is a *nix user space mountable file system that works over ssh as a proxy for sftp. Or in english, it is a way to mount anything that is available via ssh (sftp) as though it were a disk on unix/linux.
Yes, it works on macs. No, it doesn't work in cygwin. Yes, there is a windows client, if you don't mind paying for it (I haven't tried this).
Sshfs, plus an ssh terminal, plus a tiny bit of port redirection, and hey, who needs a vpn? The completely brilliant thing is that you never need anything more than sshd running on your "server" side and you never need anything but port 22 open. Ever.