In case you're interested, I saw the band once, in Syracuse on Oct. 9, 1987. I remember Bono's arm was in a sling because he'd dislocated his shoulder. It was also the same night as a friend's goodbye party, which I rushed to after the concert.
Here's the playlist, which actually contains most of my favorite U2 songs. (Thanks to James Sims of the Sofa Snark blog for pointing me to the site where I could look it up!)
Venue: Carrier Dome, Syracuse University
Opening Act(s): Little Steven & The Disciples of Soul, Los Lobos
Main Set: Where the Streets..., I Will Follow, Trip Through Your Wires, I Still Haven't Found, MLK, The Unforgettable Fire, Exit, In God's Country, Sunday Bloody Sunday, Help, People Get Ready, Bad, October, New Year's Day, Pride
Encore(s): Bullet The Blue Sky, Running To Stand Still, With or Without You, 40
Update: U2 performed four songs on SNL: "Breathe," "Moment of Surrender," "Ultraviolet," and after the show ended, "With or Without You."