VPN or something else ?

I can certainly vouch for Growl's recommendation. I currently use PIA, although I've also used Mullvad in the past. Mullvad is good for privacy (although AirVPN is probably still even better, albeit slower) but PIA is cheaper and claims to keep no logs. If there are genuinely no logs kept by the VPN provider (be wary of these claims) then it will be difficult for anyone to determine that you were connected to the VPN let alone what you were doing.

For privacy, a VPN is essential. Proxies and tunnels do not provide the same level of comprehensive encryption and anonymity. TOR should not be used outside a VPN, especially if you are browsing the clearnet.

Ultimate privacy is an endeavour, not a reality. It's always a question of degree and the level of privacy you need really depends on what it is you are doing. I use a VPN frequently (and occasionally TOR) - not because I do anything illegal (copyright infringement is not illegal in my country) but because I don't like the idea of anyone snooping around my private affairs (especially my work, where confidential communications are frequent). I wouldn't consider anything short of a VPN for adequately protecting my privacy.