From LQWiki

In a connection-oriented protocol a number of messages is transmitted between the peers before user data is sent. The transmission used to establish a connection is called a handshake. Note that handshake takes some time and extra data is sent.

A connection-oriented protocol is used when it is important to know that the data was received by the peer. When such an info is not needed or the handshake time is too long, a connectionless protocol is more suitable.

The most popular connection-oriented is TCP.