I won't follow suit with the other people who answered this, they all seem to push you toward TCP, and that's not for gaming at all, except maybe for login/chat info. Let's go in order:
Do I need to worry about bad data in my socket?
Yes. Even though UDP contains an extremely simple checksum for routers and such, it is not 100% efficient. You can add your own checksum device, but most of the time UDP is used when reliability is already not an issue, so data that doesn't conform should just be dropped.
I should assume if I send 200bytes I may get 120 and 60 bytes separately?
No, UDP is direct data write and read. However, if the data is too large, some routers will truncate and you lose part of the data permanently. Some have said roughly 576 bytes with header, I personally wouldn't use more than 256 bytes (nice round log2 number).
Should I worry about another connection sending me bad data on the same port?
UDP listens for any data from any computer on a port, so on this sense yes. Also note that UDP is a primitive and a raw format can be used to fake the sender, so you should use some sort of "key" in order for the listener to verify the sender against their IP.
If data doesnt arrive typically how long may I (typically) not see data for (250ms? 1 second? 1.75sec?)
Data sent on UDP is usually disposable, so if you don't receive data, then it can easily be ignored...however, sometimes you want "semi-reliable" but you don't want 'ordered reliable' like TCP uses, 1 second is a good estimate of a drop. You can number your packets on a rotation and write your own ACK communication. When a packet is received, it records the number and sends back a bitfield letting the sender know which packets it received. You can read this unfinished document for more information (although unfinished, it still yields valiable info):
http://gafferongames.com/networking-for-game-programmers/