Yes yes yes and yes! VPS/dedi hosting is (provided you chose the right provider) a lot better than shared. OpenVZ platforms allow for over-selling however most good hosts won't abuse this. XEN VPS supposedly can't, however it's been proven that over-selling is possible.
What do you intend to do with it? I remember when I got my first VPS, I had little knowledge in how to run one so I just ran Apache and php (no mysql) Now I'm very happy that I took that 'leap' as VPS hosting has been a lot more reliable than my other shared hosting providers (One lost my data, and the other had terrible loading speeds (this was I/O related due to mass over-selling.))
If it's simply for a website, a VPS could be good, though you may be paying more for something you wont fully use. If you also plan on using software such as PPTP/OpenVPN, Shoutcast, Teamspeak 3, backup storage with FTP and so on, you'd without doubt have done the right thing!
Hope my post has helped, and if you have any questions about virtual private servers, feel free to post/PM me and I'll happily help 🙂