Roll Your Own VPN/HTTP/AdBlock Service?

With all this Verizon header injection stuff going on I wonder if there is a way to combine a a VPN service like OpenVPN running on my own server to also do HTTP compression and perhaps Ad Blocking?

I would only use this on my families phones on our limited Verizon data plan so it might save us a few bucks a month and I will gain piece of mind that my family isn't being tracked everywhere they go.

A 3rd party doing this is http://www.onavo.com/apps/iphone but of course I am trading Verizon tracking for Facebook (The owners of Onavo) so I would love to run my own on EC2, or Digital Ocean or similar.

The dream would be VPN, Ad Blocking, and HTTP compression all in one on a hosted box of my choosing and in my name where only I have control.

Does anyone know of any open source projects doing this? I'd be happy to donate some money towards the cause as I think a lot of us on here could benefit from it