I have found that if you want to connect to a VPN from within a virtual machine, you must use the Bridged option. If you want the virtual machine to use the Mac's VPN connection, you must use the NAT option.
I have also found that connecting to the VPN from within a Windows Vista virtual machine on my MacBook Pro running OS X 10.5.2 is not reliable -- the connection frequently drops out. However, if I connect using the host machine (NAT), the virtual machine uses that connection perfectly, and I have had no disconnection issues.

