This is a very good solution for HTTP(S) tunneling - which is the most frequently needed tunnel. However if you want to play a game, or use SSH, then Pinggy tunnels are very simple to use. One command:

ssh -p 443 -R0:localhost:443 [email protected]

Disclosure: Co-founder of pinggy.io here.

Edit: I meant TCP tunnels, UDP tunnels, or also TLS tunnels for end-to-end encryption.