To save myself repeating what I've already typed, here's what I posted to the main page of u2-vertigo-tour.com, plus the set with all the snippets I know of so far.
At Chicago's first show of the third leg, there were some major surprises. The most amazing surprise was the performance of The First Time for, yes, the first time. At some fourth leg shows of ZooTV, an abbreviated First Time was added to the end of Bad just before it exploded into Bullet The Blue Sky, but beyond such a snippet, it had never been played live before. No U2 song has ever not been played on the tour supporting its album and then been played live on a later tour - until now. This is also the first time (pardon the pun) a song from the Zooropa album has been played on the Vertigo Tour and the first time a Zooropa song other than Stay has been played in North America. While on the topic of Zooropa, Daddy's Gonna Pay For Your Crashed Car was snippeted in The Fly. At least one song from every single U2 album has now been played on the Vertigo Tour - the last time a song from every single album (released up to that point in time) was played on a tour was back on 1989's Lovetown Tour.
In other news, Walk On made its first full live appearance since its performance at a Grammy's ceremony in February 2002, and today was performed acoustically with Bono forgetting the lyrics at the end and having to find a lyrics sheet! Discotheque remained in the setlist and Yahweh moved to the middle of the set to make way for The First Time in the encore.
The full setlist was:
City Of Blinding Lights
Vertigo
Elevation
The Electric Co. / Break On Through (snippet) / See Me, Feel Me (snippet)
The Ocean
Walk On
Beautiful Day / Sgt. Pepper's Lonely Hearts Club Band (snippet) / Many Rivers To Cross (snippet)
Miracle Drug
Sometimes You Can't Make It On Your Own / The Black Hills of Dakota (snippet)
Yahweh
Love And Peace Or Else
Sunday Bloody Sunday
Bullet The Blue Sky / The Hands That Built America (snippet) / When Johnny Comes Marching Home (snippet)
Miss Sarajevo
Pride (In The Name Of Love)
Where The Streets Have No Name
One / Ol' Man River (snippet)
Encore(s):
Discothèque
The Fly / Daddy's Gonna Pay For Your Crashed Car (snippet)
With Or Without You
All Because Of You
The First Time
Bad / 40 (snippet)