It is pretty easy to set up one, but you lose the ability to get around your country's restrictions on content or make it look like you you live somewhere else when doing whatever online.
And renting space at AWS or Azure is simple, but they'll definitely give up your info for anyone that asks. Most VPN services will also, but some at least claim to respect privacy.
You can rent server space in different countries for cheap too, so if you own your own server, rent a server half way across the glob and then set that server up, then do the same for what ever country you want. I understand whatcha saying, but understand that if you are in control of the servers you rent its about is good at its going to get unless you some how manage to set up your own ISP, which in its self is a whole nother conversation.
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