I'm not up to date with it but Linksys used to be the ones for putting on non-stock firmware. I remember playing around with Tomato and DD-WRT firmwares on one of the Linksys WRT54 family of routers which were well regarded at the time but I expect are obsolete now.
I have an inbound OpenVPN on a Pi which has been useful from time to time - when away for a long time I could log on as though I was on the local network which gave me easier access to some things (though I tend to leave my PC on and just use AnyDesk now).
Outbound I use NordVPN but occasionally their servers seem to freeze and it requires a disconnect/reconnect. Also many of their server IPs are "known" by the Beeb, who ban them from using catchup.
Anyway I'd start with Linksys I think, for no good reason other than I found it good ages ago.
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Routers with VPN new