It's possible but unnessacary and worse yet, inefficient since it adds overhead and you'll really want as much bandwidth as you can get.

Actually, just thought of another possible problem with tunneling. If Crysis thinks you're playing on a LAN it uses ALOT more bandwidth because it shares more data with the server and does not compress it. This is to save processing power and provide smoother gameplay. Crytek also did some really cool things on the client side to make internet gameplay smoother like object lead hit detection, which isn't used on LAN games quite so much since there's far less latency. If you do tunnel over the net you'd better have an unbelivably bad ass ping before trying. The answer is still yes, you could, but really should play an internet game over the internet and just password protect the server.

Thought about the compression thing - if the VPN connection itself is compressed that should make up for it, wouldn't it? Not that I am going to use that one since I am not able to share my bandwidth with 16 others players ...

That would explain the ~100 ping on games like Supreme Commander when I played with 2 of my friends ... Without VPN it was a bit better (~60-80 ping). Didn't think that compression will add so much latency. Glad you don't feel it on remote desktops.

EDIT: Actual ping command returns me a ping of 80ms on a VPN connection. Funnily though it has the same response times when using no VPN connection and hitting the ext. interface directly. I am guessing adding more data will stress the connection way more than just a single ICMP packet ...

Supreme Commander can run relatively smoothly/well with 400-500 ping.  It's an RTS that doesn't have a strong focus on clicks-per-minute so you don't need lightning quick reflexes or ping to get it done.

I've played games perfectly fine with over 300 or so ping from everyone on SupCom.

Connection problems start to occur higher than that, and late game might be bottlenecked by the lower ping when alot of units are flying around on games with plenty of players.