I profiled some boilerplate UDP code and the speed was very good for sending only some small amount data (which is my intent).
BUT the \"connect\" method is \"very slow\
I have come to the following conlusion:
There is no way to make UDP faster with C#. UdpClient with standard MSDN samples is the best choice.
I found a wrapper for the core API of winsock: http://www.elitepvpers.com/forum/co2-programming/159327-advanced-winsock-c.html
But when you hit "connect" (see http://msdn.microsoft.com/en-us/library/windows/desktop/ms737625(v=vs.85).aspx) the speed is rougly the same as with the managed UdpClient.