If you're in a country where your preferred game network is blocked, then a VPN can unblock it. In China, for example, many game networks like Xbox Live and PlayStation Network are censored. Just make sure to use a VPN that works in China. A VPN can also help in purchasing situations when you're traveling abroad. A game might not be available on Steam in certain regions, or you might require a local form of payment, for example. A VPN can help you access your local version of Steam so you can purchase games normally.