If you use SSH I would suggest using http://www.bitvise.com/ssh-client-download this. It is easier to manage than putty in my opinion and can be set to auto reconnect. On top of that, if you use chrome there is a extension called "Proxy switchy sharp", this can be combined with a list of pages already blocked by the GFW and will automatically use the proxy only when needed. its really simple to use and not to hard to set up. My SSH never has any troubles, but my VPN I have to change the port it runs on every day or so, if you are running your own VPN setup, that is how to get it working again.
Bitvise SSH Client is ok (but the server is the BEST SSH server for windows machines): http://www.bitvise.com/ssh-client-download When used with the server, automatically configures RDP over SSH.
Otherwise putty is just fine.
I use Bitvise Tunnelier. I find it be the most comprehensive among all the other tools mentioned here. They even have portable version!
It does SSH, it does SFTP, it also does remote desktop sharing