I am designing a new server which needs to support thousands of UDP connections (somewhere around 100,000 sessions). Any input or suggestions on which one to use?
The answer is epoll if you're using Linux, kqueue if you're using FreeBSD or Mac OS X, and i/o completion ports if you're on Windows.
Some additional things you'll (almost certainly) want to research are:
Additionally, it is important to note that UDP does not have "connections" as opposed to TCP. It would also be in your best interest to start small and scale larger since debugging network-based solutions can be challenging.