Oh, I forgot to mention (and I am surprised my good buddy Mix also forgot): PPTP VPNs are really very insecure, regardless of what you're running at either end. L2TP with IPSec and especially SSTP are both much more secure alternatives.
Although if you try to do L2TP with double-NAT (NAT at each end) with a Windows client, you may run into a small issue which needs to be remedied with a registry fix.
mad_jock: you can run L2TP VPNs with a Server 2003 R2 machine (XP-based) if you like... still 8 months of support left!
