A VPN is for wrapping raw IP packets into some kind of "tunnel" between two sites (one of the site being possibly reduced to one computer, i.e. yours). TCP is a protocol which sits on top of IP, and uses IP packets (which are "unreliable": they can get lost, duplicated, reordered...) to provide a reliable two-directional channel for data bytes, where bytes always reach the receiver in the order they were sent. TCP does that by using a complex assortment of metadata with explicit acknowledges and reemissions. Thus, TCP incurs a slight network overhead.
If the VPN uses TCP, then your own TCP connections will use IP packets sent through the VPN, so you end up paying the TCP overhead twice. An UDP-based VPN thus has the potential for slightly better performance. On the other hand, the cryptographic protection of the VPN requires some state management, which may be harder for the VPN implementation when using UDP, hence it is possible that the UDP-based VPN has an extra overhead to contend with.
Therefore, the performance situation is not clear, and you should measure.
