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U2 opened 2005’s Live 8 concert at Hyde Park with a duet with Paul McCartney on The Beatles’ Sgt Pepper's Lonely Hearts Club Band.
It was a song McCartney had never performed live himself. Bono later said that he felt "sick with nerves", and McCartney was also apprehensive. U2 + Macca got away with it. Just about.
U2 went on to play Beautiful Day, Vertigo (pictured) and One.
It's possibly the only time U2 have been the first band on a stage in 30 years.