Yes this is possible, in this tutorial, we'll see how to set up a PPTP connection on an iPhone, for the more paranoid among us.
You'll see it's very simple. For this tutorial we'll use the TUVPN VPN connection !
First tap the Settings button
And then click the General button.
Under Network, click VPN.
As you can see here no VPN is currently configured.
We are now in the zone configuration of the VPN, select "Add VPN Configuration ..."
At the top you can see the supported protocols
We will select the protocol "PPTP" and fill in all required fields.
Then enter your previously created login and password. Let the encryption level by default (automatic here) and select "Send all". It'll save more than to while using the dedicated button on the top right.
Of course you can create multiple VPN connections, so it is important to name them.
You're back on the screen "VPN", select the VPN.
Then to make sure everything works properly, I go to the website my-ip.com to check the settings.