It depends from purpose
For lan-to-lan IPsec is the best what DFL family has
Sometimes need to use PPTP as lan-to-lan solution, but it's not good because only one side (client) is initiator of connection
For remote clients, now PPTP or L2TP over IPsec. Both are good, both are supported by all most used OS, especially Windows
But, both use special protocols (GRE and ESP), which can be blocked/not supported (same problem, but different reasons) by some network configurations
For this case, now under development new kind of VPN - SSL VPN. It's HTTPS-based, VPN interface now possiblt on DFL-260E/860E, don't need to use any special protocols, so much more easy to use it. Also, it seems compartible with MS SSTP, but i didn't finished testing yet.
I'm waiting for SSL VPN on DFL-210/800/etc, it will really great solution
If tell about not supported types, i like OpenVPN. It can be used from D-Link DSR (so young line...), DD-WRT, any Windows/Linux... I like it because it can go thru UDP instead TCP, can post routing to client, can compress and more more more... Will be great to have it on DFL, but i don't believe, so usually use it from any near PC/server/etc...
If you have any your special configuration, describe it, i'll try to help you
As i told, exact solution depends from situation. For example, i use at the same time IPsec, PPTP, SSL VPN, OpenVPN