Josh is right, UDP is connectionless, and it has a great use in streaming media and system announcements. That is actually when I run into it the most is when a program needs to wideband data. It will broadcast it across the network on half a dozen UDP ports. It doesn't care if anyone gets it, and it doesn't care how many people get it.

There is a systems monitoring tool, Candle Command Center, that uses agents on remote host to monitor some application or system function. The hub and the agents communicate via UDP, this way the hub doesn't have to explicitly send a message to each agent in the field, it can send the message once and all the agents listening can hear it. The agents likewise can broadcast so the hub and its back up can both hear it. Besides, if the agent is talking, there is a problem, and the problem may be network related, so there is no need to spend time trying to set up a connection if the network might be down. If it goes through, great, if not, well the agent will miss the next "I'm alive" poll from the hub and will be reported as offline to the sys admins who are monitoring.

Anyway, I wouldn't use UDP for file sharing unless you didn't want to worry about security and you had several servers that were trying to keep in sync.