This week I'll get my Ethernet shield and for now I'm reading the reference and some examples. It seems that it is quite easy to communicate with the Ethernet shield via TCP and HTTP.
I wonder is it possible to avoid using the HTTP protocol and for example communicate directly via UDP - the UDP packet can contain some bytes that the Arduino can use?
This will require less memory and network traffic.
Yes, you are right 
I haven't tried it yet.
I think the stack is open source but if the UDP is not supported well it will take quite a big effort to implement this functionality and I'm still new to Arduino platform.
After some more searching I think I found the solution:
http://bitbucket.org/bjoern/arduino_osc/src/tip/libraries/Ethernet/