Like Robert said UDP is faster than TCP. However with TCP you don't have to worry about losing packets as all the code to manage this is inside the TCP protocol.

For UDP you'd have to manage all that stuff yourself. This can be a boon or a problem for your game depending on how exactly you want to send your data back and forth and what you want to send.

The ideal balance for network functionality is to send as little data as you can, maximizing the usefulness of what you are sending, while at the same time making sure that both sides are getting all the data they need to synchronize gameplay between all game clients involved.