This work represents the first endeavor in using ultraweak formulations to implement high-order polygonal finite element methods via the discontinuous Petrov-Galerkin (DPG) methodology. Ultraweak variational formulations are nonstandard in that all the weight of the derivatives lies in the test space, while most of the trial space can be chosen as copies of $L^2$-discretizations that have no need to be continuous across adjacent elements. Additionally, the test spaces are broken along the mesh interfaces. This allows one to construct conforming polygonal finite element methods, termed here as PolyDPG methods, by defining most spaces by restriction of a bounding triangle or box to the polygonal element. The only variables that require nontrivial compatibility across elements are the so-called interface or skeleton variables, which can be defined directly on the element boundaries. Unlike other high-order polygonal methods, PolyDPG methods do not require ad hoc stabilization terms thanks to the crafted stability of the DPG methodology. A proof of convergence of the form $h^p$ is provided and corroborated through several illustrative numerical examples. These include polygonal meshes with $n$-sided convex elements and with highly distorted concave elements, as well as the modeling of discontinuous material properties along an arbitrary interface that cuts a uniform grid. Since PolyDPG methods have a natural a posteriori error estimator a polygonal adaptive strategy is developed and compared to standard adaptivity schemes based on constrained hanging nodes. This work is also accompanied by an open-source $texttt{PolyDPG}$ software supporting polygonal and conventional elements.
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