UDP proxy
A UDP proxy, maybe better called "UDP forwarder", is a program which sends all received UDP packets to a given, mostly fixed, other host, for example a game server, and returns packets from the server back to the client.
The most common reason for using such a program is to change the route packets take from a client computer to a server. This might be needed if any network the packets are passing through is overloaded or otherwise dramatically increasing the latency (also known as "ping").

The example in the figure above shows the direct route from a client to a server in blue and red. Packets travel through network 1 and network 2. Network 2 is overloaded and because of that introduces high latency. Using a proxy on network 3, which forwards packets to the server, will change the route to the one shown in blue and green. Network 2 is bypassed and as such doesn't influence the latency anymore.