Coldplay & U2 were both in NYC last week. Both played some small shows for lucky fans and TV cameras. U2 played (and filmed at) a small club on the Lower East Side (in Manhattan), some stadiums (in NJ and Manhattan), and appeared on Good Morning America. Coldplay filmed for VH1 in Brooklyn, for AOL Music in Manhattan, and for Saturday Night Live (also in Manhattan).

U2

"U2 have taken a break from their sell-out US tour to provide backing to revered crooner LEONARD COHEN in a tiny Manhattan, New York club.

The group were filmed recording Cohen classic TOWER OF SONG at erotic cabaret lounge The Slipper Room yesterday (19MAY05) for an upcoming documentary about the torch singer"

And it ends up the U2 performance on Good Morning America Friday morning was filmed in Chicago. ABC News has that story.

Coldplay

The Modern Age also went to the BAM show.
And The Modern Age was at the Beacon Theatre show which was being taped for AOL Music.
Productshop was there too.
Fashionably Late has photos @ Flickr

Then Coldplay played SNL last night. "...it seems they decided to play only the traditional two sets instead of the five we were led to believe we would see. Coldplay performed their instant smash-hit single, Speed Of Sound, and followed it up with Fix You" - Nothing Much

Someone already posted MP3s FROM THAT PERFORMANCE.