Transmission Control Protocol/Internet Protocol, or TCP/IP, is a subset of connection protocols that help your computer to define a stable connection with other network-connected devices.
User Datagram Protocol, or UDP, is an IP protocol set used for broadcast and multicast network transmissions. It works very similarly to how TCP performs with data transmission without the authentication of a handshake or decent error-checking.
For the average user, TCP is the ideal choice. No user wants to deal with broken downloads or packet loss. UDP is often used for multimedia applications like VoIP or where both the client and server send packets separately with no delay like online gaming.