By ISAAC GUZMAN
Daily News Feature Writer

New Yorkers came to U2's Wednesday-night show at Madison Square Garden looking for a pep rally. But the band that has cheered millions with anthems championing civil rights and spirituality gave them something more thoughtful, something that could not be summed up in a slogan.

Returning to New York for the first time since June, U2's "Elevation" tour again focused on songs from the recent "All That You Can't Leave Behind." Older hits, such as "In the Name of Love," "Angel of Harlem" and "New Year's Day," were mixed in with covers of "Knockin' on Heaven's Door" and "What's Goin' On."

Fans were eager for any sign of compassion or empathy U2 might offer in the aftermath of the Sept. 11 tragedy. Without prompting, the crowd erupted into chants of "U-S-A" and "Let's go, Yankees."

Bono, however, manifested more subtle displays. When a fan gave him an American flag during "Sunday, Bloody Sunday," he did not march around with it as he has done with a white flag of surrender. Instead, the singer simply embraced the Stars and Stripes and then reverently handed it back.

He also declared the night a celebration, observing that the I.R.A. had decided to dismantle its arsenal. His recollection of the "dark, ugly days" of terrorist attacks in Belfast and London underscored the band's understanding of Americans' grief and fear.

During "One," U2 used a huge video monitor to display a scrolling list of the names of Sept. 11 victims: those who died in the four hijacked planes, and the slain firefighters and police officers. The names of the others missing in the World Trade Center rubble were projected into the audience, where they cast ghostly shadows.

It was a powerful piece of theater, especially when matched to Bono's lyrics: "We're one, but we're not the same/We get to carry each other, carry each other."

As the band's members reach middle age, U2 has replaced its early muckraking with the search for meaning and love in a complex world. The result is music far more compassionate but no less potent, especially at a time when the smallest gesture carries the weight of the grandest statement.

U2 also plays tomorrow at the Garden and Sunday at the Continental Arena.