Well personally I think the NAT is a worthwhile extra. A VPN makes you 'anonymous' and also allows you to spoof your location, but AFAIK it also leaves you wide open to random probes. It effectively bypasses your router's firewall and connects you directly to the big bad internet. I'm personally happier with the firewall option. I think it's $5?
I am not professing to be an expert. Just relaying my understanding of what I've read, so it would be interesting to hear more from people who know what they're talking about.