If you're sending lots of data, and if the data isn't critical, then UDP is the best option. However, this will potentially lose packets (you may lose one of your datasets across the wire). This is often fine, if your data is doing something like updating a real-time chart, since a missing value doesn't really matter.
If, however, missing data is critical, then TCP/IP will be your best option for sending data across the network. Given the high rate of data, you'll be best off making your own user-defined binary format, and just sending/receiving raw bytes. Using Xml will be much, much chattier (which means more overhead). Even BinaryFormatter will add some overhead, since the serialization tends to add a bit more than absolutely necessary.