UDP will give you better performance. TCP will work better in pathologically bad network conditions (either some kind of firewall, or some specific kinds of network loss).

The issue is that "TCP in TCP" can lead to weird interactions where you delay one packet, wait for retransmit, etc., and essentially a single packet lost can eat up a second or two.

In general I'd always try UDP, and if it doesn't work, fall back to TCP.

They're equivalent security -- it's just network performance.

I assume you know what a handshake is, right? A TCP connection requires a handshake and is evidently a much more reliable and safe connection. A UDP connection doesn't require a handshake. This means that you never know if your data has reached its destination or not and due to this is much less reliable. Skype uses a UDP connection, and at times it is evident that it does when video resolution drops, etc.