PPTP, L2TP and OpenVPN are all Virtual Private Network protocols used in order to establish a fast, secure, and reliable connection between two nodes. Point to Point Tunneling Protocol (PPTP) is the most commonly used of these methods for establishing VPNs. It is usually pre-installed on devices but has limited to no compatibility with default/manufacturer router firmware. PPTP is a fast and easy setup for those with little concern about security and looking for a simple way to use DD-WRT or Tomato.
Layer 2 Tunnel Protocol (L2TP) is provided as an option by most internet service providers. The connection it provides is highly secure and reliable, but may be a bit slower than PPTP and OpenVPN. L2TP is recommended for professionals who require a greater level of security in their internet use or those looking to set up VPNs only on their mobile devices.
OpenVPN is the most advanced and most popular software app used to establish VPN connections. OpenVPN provides speed and security, but is not an out of the box feature, so its setup is a bit more complicated. If you set up your VPN within your router, you can then use OpenVPN with all of your devices.