Well, some of the more advanced router firmwares might (but probably do not) support connecting to a third party VPN. I've read about people setting up Linux boxes as routers, having them connect to the VPN, and then set up an internal firewall that only allows traffic from the Linux router out to the Internet (to prevent you accidentally using your regular Internet connection). Then you use that Linux box as your internal network's gateway.
I have never tried this myself, but it should be do-able.