The User Datagram Protocol, UDP for short, provides unguaranteed, connectionless transmission of data across an IP network. By contrast, TCP, provides reliable, connection-oriented transmission of data.
Both TCP and UDP split data into packets called datagrams. However TCP includes extra headers in the datagram to enable retransmission of lost packets and reassembly of packets into the correct order if they arrive out of order. UDP does not provide this. If a UDP packet is lost, it's lost. It will not be retransmitted. Similarly, packets appear in the receiving program in the order they were received, not necessarily in the order they were sent.
Given these disadvantages you may well wonder why anyone would prefer UDP to TCP. The answer is speed. UDP can be up to three times faster than TCP; and there are many applications for which reliable transmission of data is not nearly as important as speed. For example lost or out of order packets may appear as static in an audio or video feed, but the overall picture or sound could still be intelligible.
Telephone vs. snail mail analogy.
Protocols that use UDP include NFS, FSP, and TFTP.