Re: VPN's What do they know?
Yes, the VPN will see your data (SSL will still protect things like login info, etc). Basically, you put your faith in the VPN provider that they won't turn your ass over to the authorities if they get a copyright letter.
But no, it's not the same as openDNS at all. OpenDNS just gives you alternative DNS servers, all of your actual traffic still goes through your ISP.
Re: VPN's What do they know?
PPTP is known to leak DNS data sometimes, so if you're going to pay for a VPN service, make sure it's OpenVPN-based or at least lets you use that to connect. You can then set the DNS servers you want to use (among a plethora of other settings) from the config file.
Re: VPN's What do they know?
Any SSL based VPN would be fine, not just OpenVPN :P