I think U2 are much better at covers than many here give them credit for. Maggie's Farm, My Hometown, Satellite of Love, Happiness Is a Warm Gun, Pop Muzik, Neon Lights, even Helter Skelter and All Along the Watchtower are all strong renditions to me.
I'd like to hear them cover more fully some Doors songs, like a full-on Break on Through or Five to One, or a Tragically Hip song, like So Hard Done By or Grace, Too.