UDP packets can be dropped, arrive out of order, and get duplicated.
TCP is built on top of UDP and adds lots of logic to try to prevent these problems and give you a reliable connection - it does this by ordering packets as they arrive, retransmitting dropped packets and acknowledging what it’s received so far.
All of this TCP logic requires many more messages and acknowledgements than UDP, therefore UDP is faster
UDP can be lost because a router only has so much space to remember packets in it’s memory - if the links its connected to become overloaded and it’s memory gets full it has to drop packets. It can also drop packets if they get lost or run for too many hops around the internet.
Thats the gist anyway - Wikipedia has lots of info:
