Apple does not impose region restrictions based on your physical location, so no need for a VPN. You just need an appropriate billing address and credit card. I live in Europe, but I also have a bank account with a debit card in the US and I use a US iTunes account - the prices are better and there's more content (especially movies, TV shows or books).
If you don't have access to an European debit card, you can somewhat override it by using gift cards. But be careful, because gift cards bought in one EU member state may not be valid in another. And also you may lose your previous purchases after switching the store country. It happened to me when I switched my Slovakian/EU account to the US in 2010.
