Ugolino (I) is a superdiminutive of Ugo, which ultimately derives from Hugo/Hugh (see below). One of the most famous stories in The Divine Comedy features the infamous Count Ugolino della Gherardesca eternally gnawing at the skull of Archbishop Ruggieri degli Ubaldini.
Urso (I) derives from the Latin word ursus (bear).
Ubaldesca (I) is a feminine form of Ubaldo, which derives from Old High German name Hugbald. Its roots are hugu (mind, thought, spirit) and bald (bold).
Uga (I) is a feminine form of Hugo/Hugh, which derives from Ancient Germanic root hug (spirit, heart, mind).