Patrick heard Leo talking about Tiny Hardware Firewall in the past, and he also uses it. The idea of this is not unique to this company. It's actually created by HotSpotVPN. They buy inexpensive boxes and then put firmware in them that routes everything through their VPN. As part of a subscription to their VPN, or as part of the hardware purchase, you'll get this automatically. The downside is that the Tiny Hardware Firewall must use HotSpotVPN, and can't use a different service. Some people may not choose them because some people use VPNs to bypass geographical restrictions, but that's not how Tiny Hardware Firewall works. You can't choose a different geographical location. Tiny Hardware Firewall does have TOR built-in though, which is nice. Leo uses that because he wants to be safe when using an open access point. Leo has the keychain version of the hardware firewall, and he says it's important to have a firewall when you're on an open access point.
Patrick uses TunnelBear, and Leo says that one is a good one, particularly for removing geographical restrictions. But Patrick says Netflix complained about it. Leo says that the way services like Netflix or the BBC iPlayer fight back is by banning VPNs. Netflix has gotten better and better at blocking VPNs. Using a VPN isn't a great idea for watching video anyway, because it does limit your speed.