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I have tried doing this before, but I couldn't get a connection between the two, and for same reason NAT doesn't deliver internet correctly. Any help will be appreciated, I cannot connect to VPN as a result of 'NAT' not working correctly.

I am using an Ubuntu guest OS.

VPN not working on NAT would indicate that the VPN type is PPTP or similar, something that requires more than TCP and/or UDP. Anyway, not having internet with NAT is a bit problematic. The Host must have internet before you should start the VM with NAT.

But that's not what you're asking for, you want Bridged to work. That is almost as easy as NAT. You select the NIC that is physically connected to your network for internet. You must have a router for it to work. If you're directly connected to the internet, Bridged won't work because the VM will not be able to obtain an IP address from the ISP, as it allows only one IP to be assigned per user.

If this doesn't work, please post the VM settings, a log and the Host network set up.

Wait, so I can't use a bridged connection if my MacBook is not DIRECTLY connected to the router?

I have my host computer connected via Airport and I have set that up in Bridged Networks on VirtualBox. It still won't allow me to connect. How would I get the logs (I'm a noob)?

No, your Host has to be NOT connected to the internet directly. Your Airport is just an access-point, which manages wireless connection to your router.

What you need is to connect to wifi first, then set the VM to use your wireless interface as bridged and start it. That should get it going. However, there have been some people that are unable to use their wifi as bridged due to the limitations that are on it (it has to do with the wireless connection and security protocol, along with the brand of the NIC and router/access-point). If you can, try to use a wired connection to your router and see how that goes. Don't forget to change the VM settings to use the wire instead.