While I don't agree with an employer or job site filtering web access, following a two year old blog post on circumventing a client's security measures borders on irresponsible and stupid. You may think of it as only bypassing some web filtering, but by establishing a VPN connection across their border, you've potentially opened their network up to any insecurities in your machine or your EC2 instance with a direct link past their border that your client is completely unaware of.
If you need to perform work on a client site that isn't permitted over their network, you should bring your own connectivity. I carry a cheap cdma modem for that very purpose. Just don't expose your client to additional risks so that you can read SO.
Certainly. If someone's looking for a cheap vps to tunnel through, http://www.lowendbox.com/ provides a listing of all the cheapest deals out there. While they wont provide much in the way of disk space or processing power, they're perfect for tunnels.
There are plenty of other cheap VPS providers anyway...