Short answer – no.
Using a VPN is not illegal, and it's perfectly legitimate to want to protect your data and activity. Having one on your computer and using it regularly in pursuit of watertight web security and location spoofing is in no way unlawful.
However, using a VPN to hide illegal activity doesn't make you above the law, so downloading copyrighted material is still illegal even with a VPN. Similarly, using a VPN goes slap bang against Netflix's Ts&Cs, and the provider has the right to terminate your subscription if they catch you – although that's never actually happened.
Countries like China and the UAE have made laws against VPN use, but due to their use in business it's impossible to outlaw VPNs outright. However, in those cases it's well worth reading up on what you may or may not be permitted to use a VPN for, and consider if the very small risk is worth taking.