The stuff below shows the situation as it was back in April, but things have moved on since then, and the free built-in VPN (courtesy of Opera-owned SurfEasy) is now available on the latest standard version of Opera (38.0.2220.31).
Back then it was available only in the developer version, but that's not now required.
Probably cheaper options out there for large data users, but the free 500mb per month (free add-ons are available to increase this further) will suit a lot of people who need occasional use but don't want to pay for it.
Free built-in adblocker too.
http://www.opera.com/