Export of Blender 2.5 collada files into UDK works for static meshes. However when using the "reload static mesh" in the Content Browser it doesn't work when the file is a collada dae file.
So far "reload static mesh" only works for ASE files. Therefore ASE export needs to be used for static meshes.
We have also not been able to successfully load FBX files from Blender to UDK.
So the only solution at the moment is to keep using Blender 2.49 ASE exporter and 2.49 PSK/PSA exporter.
We have slightly updated the PSK/PSA script from Blender 2.49 to work with Blender 2.5. However it's not yet complete and needs more work. If you need access to this updated script so you can work on it yourself see:
http://www.filefront.com/15354713/export_udk_PSK_PSA.py.
The script works with the latest builds of Blender 2.5x and not Blender 2.50 Alpha 0. Simply place the script in ..\.blender\scripts\io
We also have plans to update the ASE script to work with Blender 2.5. HOWEVER both scripts are being worked on part time right now. Since the 2.49 solution works at the moment.
UPDATE: It should be noted that importing collada files with the same name as ones in a package does replace the old ones in the package. So if a collada asset named X is imported into a package that contains a collada asset named X, then it will be replaced by the new one. So ASE export from Blender may not be necessary.
UPDATE: This issue has been taken care of. UDK now supports FBX import.