UDP is a what they call a 'send and pray' protocol. You throw data onto the network and you have no guarantee if the data reaches its destination or when. Because of this, it is extremely fast, efficient, but also 'unreliable'.
It is extremely suited for streaming live video. In this case it is not important that you receive ALL data, as long as you receive SOME data continuously and fast.
VLC supports this protocol for streaming, however not all types of video can be streamed over UDP. See the matrices here: http://www.videolan.org/streaming/features.html