VPN services are legal in most countries (though watch out for the countries that do regulate or outright ban the use of VPNs). It's completely legal to mask your IP address and encrypt your internet traffic.
There is nothing about using a VPN that's illegal and VPN services themselves do not and cannot do anything illegal.
The only thing that's illegal is if you were to break the law while using a VPN - for instance if you were to infringe on someone's copyright. But that's the action of infringement that's illegal, not the use of the VPN.