One of those enlightenment moments that I should have had sooner: every time I have seen someone set up an OpenVPN VPN, they have generated all the certificates on the VPN server as root using easy-rsa. This is kind of strange, because you end up with an incredibly sensitive directory on the VPN server containing every private key for every client.
Another angle is whether you trust the random number generators used to create all these keys - does your hosting provider use a weak RNG?
Instead, you could set up your CA using easy-rsa on a separate machine - perhaps even air-gapped. Then private keys can be generated on each machine that wants to join the VPN, and the certificates can get signed by the CA and returned. (The easy-rsa package has been split out of the openvpn package in Debian unstable, which makes this more understandable.)
Is there a security benefit? You could argue that if your VPN server has been compromised, then you are already in trouble. But I'm thinking about a setup where I could run multiple VPN servers for redundancy, signed by the same CA - then if one server gets broken into, you could kill it without having to revoke all the client keys.
By the way, the default RSA key size used by easy-rsa is 1024 bits at the time of writing (fixed upstream: Debian bug #733905). This is simple to change, but you need to know to do it. One of the 30c3 lightning talks was about bettercrypto.org - a guide to which cryptography settings to choose for commonly used software.