What country you choose to connect your VPN to depends on the streaming site you want to use. Most VPNs have the same security and logging policy on every server in their network, so it doesn't matter much as far as privacy and safety go. That being said, VPN companies usually rent out servers from data centers, and those data centers are subject to laws and regulations in their respective countries. So if it's really a concern, choose a country with strong privacy laws and no data retention requirements.