Be cautious of the potential legal headaches, register it as a limited liability company, and host away from your place of residence (so police don't raid your home).

Even if you're entirely above board your users may not. Child porn, illegal substances, gambling, stalking/bullying, fake emergency calls, bomb threats, and so on. Your users are just waiting in the wings to place you into law enforcement's crosshairs.

If I opened a VPN I'd spend 10% on equipment and the other 90% on lawyers, fraud prevention, and liability insurance.