First thing's first; First of all don't ever fall prey to free VPN apps. They are slow and would spam the hell out of you with advertisements. Secondly, only go for paid online gaming VPN software that'll cost a little but your pings and lags in the online gaming sessions would significantly be reduced. Now, there are things to look for when buying a gaming VPN:
VPN Servers and their locations Protocols they provide (L2TP is best for gaming and SOCKS5 Proxy) The response time of their customer support Monthly & yearly price discounts
Moreover, I would have suggested software like WTFast and Killping that are dedicated for this purpose but buying a VPN is a more sane decision as you'll also be able to access restricted websites on the web with a VPN. So, the more the merrier, and VPN is the way to go.