Colchester, buoyed by their first League One victory of the season at Leyton Orient last Saturday, led at the break at the Weston Homes Community Stadium thanks to George Moncur's 31st-minute opener.
The hosts appeared to have put the game beyond doubt when Freddie Sears doubled the lead with 13 minutes left on the clock.
However, Sheffield United had other ideas and Ben Davies started the comeback with a drilled effort from the edge of the box before Ryan Flynn levelled proceedings when he finished from close range.
The turnaround was completed when Flynn was fouled in the area, allowing Davies to convert the resulting penalty and clinch a thrilling win.
Eoin Doyle's terrific form continued as he scored a hat-trick for the second match in a row, as Chesterfield also had to come from three goals down to earn a valuable point in a thrilling 3-3 draw at Preston North End.
Simon Grayson's men made a flying start and were 3-0 up inside half an hour, thanks to goals from Alan Browne, Joe Garner and Josh Brownhill.
But Doyle ensured the lead would be just two at the break with a deft finish before he brought the scores to within one with 11 minutes remaining.
There was time for one last twist as Chesterfield were awarded a penalty for handball in the area and the nerveless Doyle slotted home the spot-kick.
Leaders Bristol City remain unbeaten at the top of the table as Aaron Wilbraham's double helped his side win 3-0 at Port Vale to pile more pressure on under-fire Vale Park boss Micky Adams.
Second-placed Peterborough United lost for the second time this term in a 2-1 reverse at Gillingham, while MK Dons slipped to a disappointing 2-1 defeat at home to Bradford City.
At the bottom end of the table, Crewe Alexandra earned a 1-1 draw at Yeovil Town, while Scunthorpe United secured a fine 2-1 victory over Coventry City to ease the mounting pressure on manager Russ Wilcox, the visitors not helped by a red card for Reda Johnson.
Walsall's early season woes continued as they were routed 4-0 at Rochdale, who had four different goalscorers.
In other matches, Doncaster Rovers were held 0-0 at home by Crawley Town, Notts County played out a 1-1 draw at home to Leyton Orient and Amari Morgan-Smith's 84th-minute strike secured a 2-2 draw for Oldham Athletic at Swindon Town.
