Most VPN applications allow you to find the fastest server easily. In general, the fastest server is the one that's closest to your (physical) location.
Depending on where you live and depending on the political situation of the countries that surround you, sometimes you won't have any other option than to connect to a remote server location. This means that your Web speed might suffer, but you'll get to unlock new types of websites, and you'll get to secure your private data properly.