I have Ubuntu 11.04 Natty on my laptop, now, and it almost always stalls when trying to download a file via sftp while on wifi with the VPN on. Turns out, modifying the MTU (maximum transmission unit) on the wifi fixes the problem. The default value is 1500, but apparently, the VPN protocol adds overhead which reduces the effective size. On my laptop, the VPN tunnel virtual device has an MTU of 1412.
tun0 Link encap:UNSPEC HWaddr ...
inet addr:xxx.xx.xx.xxx P-t-P:xxx.xx.xx.xxx Mask:255.255.255.248
UP POINTOPOINT RUNNING NOARP MULTICAST MTU:1412 Metric:1
RX packets:92323 errors:0 dropped:0 overruns:0 frame:0
TX packets:61094 errors:0 dropped:0 overruns:0 carrier:0
RX bytes:119168710 (119.1 MB) TX bytes:4994871 (4.9 MB)
So, what I did was change the MTU of the wifi device wlan0 to 1412:
sudo ifconfig wlan0 mtu 1412