If you're looking for the best country to connect to when using a VPN, it is important to choose a country with great privacy laws. Choosing a server located in a place like Switzerland or Panama is a good idea since both of these countries are very privacy-friendly.
Just like opting for a server in a privacy-safe country is important, choosing a VPN with its headquarters in a region with great data retention laws. Panama, the British Virgin Islands, and Romania are all excellent countries in which VPNs operate. By selecting a VPN company that is located in a private region, your data is less likely to fall into the hands of government agencies or ISPs.