What is the difference between TCP and UDP ? When one should be used ?

TCP stands for Transmission Control Protocol. Using TCP, applications on networked hosts can create connections to one another, over which they can exchange streams of data using Stream Sockets. The protocol guarantees reliable and in-order delivery of data from sender to receiver. TCP also distinguishes data for multiple connections by concurrent applications (e.g., Web server and e-mail server) running on the same host.
In the Internet protocol suite, TCP is the intermediate layer between the Internet Protocol (IP) below it, and an application above it. Applications often need reliable pipe-like connections to each other, whereas the Internet Protocol does not provide such streams, but rather only best effort delivery (i.e., unreliable packets). TCP does the task of the transport layer in the simplified OSI model of computer networks. The other main transport-level Internet protocol is UDP.
UDP stands for User Datagram Protocol. Using UDP, programs on networked computers can send short messages sometimes known as datagrams (using Datagram Sockets) to one another. UDP is sometimes called the Universal Datagram Protocol.
UDP does not provide the reliability and ordering while TCP does. Datagrams may arrive out of order, appear duplicated, or go missing without notice. Without the overhead of checking if every packet actually arrived, UDP is faster and more efficient for many lightweight or time-sensitive purposes. Also, its stateless nature is useful for servers that answer small queries from huge numbers of clients. Compared to TCP, UDP is required for broadcast (send to all on local network) and multicast (send to all subscribers).
Common network applications that use UDP include the Domain Name System (DNS), streaming media applications such as IPTV, Voice over IP (VoIP), Trivial File Transfer Protocol (TFTP) and online games.
The above description of TCP and UDP pretty much covers everything. No one will expect you to tell the finer details of them but you should know how they work and how they are different.