I need to setup NLB & SQL Clustering for a SharePoint farm deployment. I
was wondering if this is possible if the servers are connected to one
another via a VPN connection? If it is possible, are there any special
considerations that I must be aware of?

Thanks for ANY help.

I assume you mean NLB & SQL are *not* on the same boxes,
as a server cluster (what SQL uses) and NLB cannot be on
the same server.

As long as SharePoint can talk to SQL, I assume all would
be well.