Since internet access is very limited from some countries (eg China) and VPN is often blocked there as well, you have a few options to circumvent the restrictions. These are all based on ssh tunnelling, because it seems the ssh protocol is usually not blocked. (but of course, if VPN isn't blocked from where you are, it is usually the easiest method to access websites and other resources)

In fact when you can connect through the ssh protocol you can use the tunneling mechanism to enable VNC access to your desktop as described here.

First, you need to SSH to the remote machine with some special parameters:

 ssh -ND 8888 user@host.com

Some detail on those options:
-N don't start an interactive shell on the remote server
-D setup the SOCKS proxy on port 8888 on localhost

Now, go into your Network Control Panel, and then 'Advanced…' → 'Proxies'. Set the SOCKS Proxy (only) with your proxy settings: localhost / 8888. You DO NOT want to set the HTTP proxy, HTTPS proxy, etc.

From here, all your apps that are proxy aware (most of them, probably) will 'just work'.

In some cases, you may not want to mess around with the system settings, especially if you just have something quick you need to do. In that case, Firefox allows you to configure it's proxy settings separately from the rest of the OS.

Go to 'Preferences' → 'Advanced' → 'Settings…' → 'Manual proxy configuration'. The key here is that you want to fill in ONLY the SOCKS host and port, and not the HTTP proxy, etc. As above, the settings are localhost and port 8888 (assuming you followed the example SSH command above).