Some VPNs keep usage records for short periods (anywhere from 10 minutes to thirty days or more). Depending on how you feel about privacy, you may want to look for a VPN that doesn't keep any records of activity whatsoever.
For the services that do keep logs, records generally include the time you connect, and sometimes an IP address. Torrent Freak recently did a detailed rundown of several VPNs and how they handle your privacy.
VPNs are a great tool for privacy and getting around regional restrictions, but not all VPN services operate under the same conditions. For savvy shoppers, a little research is required.
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