- IPsec (note: IPsec can be used without encyrption, if you want to use it for just a basic tunnel)
Client-side software that does transparent proxying
- OpenVPN [Windows, Linux, OS X, Solaris, OpenBSD, FreeBSD, NetBSD, QNX]
- yes, it can be "merged"† 
- Windows installers / GUIs
- the Windows version uses the Tap-Win32 driver   that is authored by OpenVPN
- other things that use OpenVPN's Win32 driver
- WideCap [Windows]
- yes, it can be "merged"† — see the the Network > New Rule screen
- setup screenshots:
- yes, it's currently 100% free, though the website makes many contradictory statements
- [not free?] the license page says that you MUST register the program after the 30 day trial period
- [yes, free?] the How To Buy screen says "there's no way"
- [okay, it's totally free] after you install WideCap, the Sponsors screen says "Advertisement is helping keep the WideCap freeware"
- FreeCap [Windows]
- Sockscap [Windows]
- ProxyCap ($30, free trial) [Windows]
- SOCKSchain ($50, free trial) [Windows]
- iptables transparent proxy⇒SOCKS [Linux, OS/X]
- if you don't have admin rights, you can also do the LD_PRELOAD trick
- OpenSSH's layer-3 tunnel [Un*x, no Windows]
- VTUN [Linux, FreeBSD, Solaris]
† I use the term "merged" to mean that both the tunnel as well as the local LAN can be used at the same time, based on rules (eg. netmask rules, routing rules). This is in contrast to some client-side VPN programs, which prevent you from connecting to the local LAN while you're connected to the remote network.
- proxifier — Any utility which makes allows other programs able to use a proxy without being explicitely configured to do so. This is particularly useful for when programs don't have built-in support for SOCKS proxies.
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