No, not really. It depends on where the filtering is done - if it is your company connection and they have filtered your access then subverting it could get you fired.
If it is your ISP, then subverting it could get you kicked out.
If you are living in a restrictive regime, and they have mandated filtering, then you could be shot.
In any case, now you know the risks, your best bet is to look at
internet Proxies[
^] and start from there.
Depending on the filtering though, it may either not work, or may draw attention to yourself...