Default Debian installation does not include VPN support inside the Network Manager applet. The reason behind this decision is probably the variety of available solutions.

OpenVPN

Install the following packages to provide support for OpenVPN connections.

$ sudo apt-get install network-manager-openvpn
                      network-manager-openvpn-gnome

IPsec with the IKEv2 key exchange protocol (strongswan)

Install the following packages to provide support for IPsec/IKEv2 connections.

$ sudo apt-get install network-manager-strongswan

Cisco AnyConnect compatible VPN (openconnect)

Install the following packages to provide support for Cisco AnyConnect SSL VPN connections.

$ sudo apt-get install network-manager-openconnect \
                       network-manager-openconnect-gnome

Point-to-Point Tunneling Protocol (PPTP)

Install the following packages to provide support for Point-to-Point VPN connections.

$ sudo apt-get install network-manager-pptp \
                       network-manager-pptp-gnome

Cisco Compatible VPN (vpnc)

Install the following packages to provide support for IPSec-based VPN (Cisco, Juniper, Netscreen and Sonicwall) connections.

$ sudo apt-get install network-manager-vpnc \
                       network-manager-vpnc-gnome

Ending notes

The following image presents the whole list of supported VPN connections.