Despite being a connectionless protocol, many firewalls are able to track the state of UDP communication. One such firewall is IPtables on Linux. Let's consider a simple IPtables input policy permitting related and established traffic, but dropping everything else.
I am a huge fan of Linux. In the office most of my real work happens through a Red Hat jumpbox, this website is hosted on Ubuntu and I've been using Linux on my personal machines since 2010. At first, I was using Linux because I'm a nerd and that's what we do, but I continue to use it because it increase my productivity.