When Googling for the most trusted VPN provider (for keeping your anonymity), some users say that the best way to go is to just setup your own (e.g., OpenVPN) using a dedicated server. How is this more secure if the provider of the dedicated server and their ISP still has access to your internet traffic data?
In general setting up your own will be less secure because:
there are more ways for your identity to leak out when you are hosting your own service. For example, if you use a dedicated server you might need to register a domain name.
you lose the anonymity of many, many users utilizing the third party VPN service. (If you are one of a few users of your self-hosted VPN, it will be easier to identify you.)
you may not have the expertise to understand the latest security issues related to your hardware, host, network and software stack
Using a VPN service does not anonymize you from Nation-State actors. For example, VPNs have been used as honeypots in the past by the FBI to catch Carders in Europe. If you are concerned with Nation-State type threats (I don't think you are), read up on the tor proxy or OPSEC methodologies needed for that type threat (you are probably already screwed btw). However, If you want to secure your connection from spying eyes while you are in a hotel or at a coffee shop, using a home VPN (or a ssh socks proxy to route through a home server) is more secure than using a third party. For example, the third party could be viewing your traffic as your connection routes from the vpn tunnel back out to the Internet, anything that's not SSL/TLS encrypted is fair game.
Perhaps reading up on using a socks proxy (ssh) or even OpenVPN to set up a service at your house would be a good idea.