Only problem with the LD_PRELOAD method is that it doesn't work for all (many) apps. I believe one case it breaks for is non blocking connect()s, not sure if there are others. Although the iptables setup is a lot more complicated it pretty much works for everything.
An example I have found is rtorrent. There is also https://github.com/apenwarr/sshuttle, which looks promising, but I haven't used it. My vps provider doesn't provide tap for openvpn to work.
