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@Velocio
Just the get the router I mentioned above: http://www.asus.com/Networking/RTN66U/
But if not, it's the CPU, south bridge and networking chipset that matter, and if you want to build your own OpenVPN client/server it's certainly possible to do (there's a hell of a lot of articles on it). Not that those components need to be stellar, they just can't be overly constrained.
I investigated this build-your-own route but ultimately determined that I couldn't be sure that I could achieve throughput for sub £100, and that the next step up (mini computers, Mac mini, Asus mini pc) would all be way more expensive than that router mentioned, and would take an enormous time cost, and cost more power, heat, and noise.
Hence, I investigated small office routers capable of running VPNs and that Asus router came out on top (short of the enormous price leap before you get to equivalent Cisco equipment).