This might do it, although it seems to have far too much functionality:
 http://www.ebox-platform.com

It supports OpenVPN, which will do all you want and more.
 

Looks useful to play with for other things, thanks, even if OTT for this.

I was thinking about some of the embedded Linux devices, Tonido Plug, Guru Server, etc, although I'm not sure they'll do what I need (or if they will, then how to do it).

Mark - do you mean that OpenVPN is over the top, or ebox-platofrm?  If you're happy with OpenVPN, then maybe just install Ubuntu on a Sheevaplug?  Actually, looking at Tonido Plug I can see that the hardware is a Sheevaplug.

Richard