Realistically, it’s all about who has jurisdiction over you, and who will assist the people with jurisdiction over you. I use countries that are less than chummy with the US for my VPN exit nodes, because they’re far less likely to issue any subpoenas or comply with data requests from US companies.

Just as I suspect that e.g. Canada may be less likely to assist China in unmasking internet users, and thus be safer for Chinese users as a VPN exit node, the inverse is also true.