Earlier in the day the band had been guests on BBC Radio 1. Throughout the day there had been hints of the surprise concert on Internet message boards.
For 20 minutes the band entertained the crowd below.
Bono told the crowd: "This is a great honour. This is the first time we've played these songs to people, so we hope we don't screw it up."
Only The Edge wasn't dressed for the elements, wearing a short-sleeved lumberjack shirt and hat.
The gig brought back memories of when the Beatles performed live on top of Apple's London headquarters in 1969.
U2 told the radio audience on Friday morning that they hope to offer tickets that fit the recession for their fans. Of course they have no problem charging more for those who can afford it.
Bono told the audience: "This is a great honour. This is the first time we've played these songs to people, so we hope we don't screw it up."
He said they were "trying" to work on some cheaper ticket prices, but added: "We're also going to have some very expensive ticket prices because rich people have feelings too!"