You can tunnel out that way just fine, but even with setting up dynamic SOCKS forwarding (ssh -D [bind_address:]port) it's less effective and more work. You're

You can tunnel out that way just fine, but even with setting up dynamic SOCKS forwarding (ssh -D [bind_address:]port) it's less effective and more work. You're dependent on being able to set proxies per-application, the applications supporting it through some central mechanism (generally flaky), or using proxychains to force an application to use the SOCKS forward (insanely flaky IME). What sshuttle buys you is transparent interception and forwarding of tcp with firewall rules (no proxies), more reliable DNS tunnelling, packet reassembly that avoids the worst tcp-over-tcp performance nightmares, and control of any or all networks that should be tunneled to. There are a couple of nice bonuses like better traffic reporting, toggle for latency vs. throughput, and the ability to offer tunneling to other local machines, but really it's a decent alternative to a vpn for anything that only uses UDP for DNS. TL;DR Less tinkering needed, more reliable, more pleasant to use, supports more applications.