Deciding which transport protocol to use can be the hardest part of developing TCP/IP-based applications. The general rule of thumb is to use TCP unless your specific application calls for bandwidth sensitivity or congestion control, which can be relevant issues on Pocket PC devices now that wireless connections are becoming more accessible. UDP should be used in the following situations: when writing applications that require the capability to broadcast data to multiple devices (IP Multicast however, is much less bandwidth-intensive); when writing real-time multimedia applications that can afford to drop packets when congestion occurs; or for extremely small transmissions that require acknowledgment only.
TCP (stream)-based applications are considered much more reliable, and TCP's guarantee of message delivery combined with relatively low overhead makes it an extremely flexible and robust protocol. My best advice is to consider carefully the type of data that you will be sending, as well as your available bandwidth and network conditions, before making your decision.