Jermaine Jenas lobbed home the opening goal with just two minutes on the clock and Robbie Keane - who ran the show in the first 20 minutes - grazed the post from a tight angle.
However, the Blades were a constant threat aerially and forced their way back into the game when Rob Hulse powered Colin Kazim-Richards' corner into the ground, up and over Paul Robinson and home.
JJ missed another decent chance and Ricardo Rocha's 'goal' was disallowed for a foul by Dimitar Berbatov as we went into the break on level terms.
United began to get on top in the second half and forged ahead when Teemu Tainio was adjudged to have fouled Stephen Quinn, Phil Jagielka smashing home what turned out to be the winner just after the hour.
Martin threw on both Mido and Jermain Defoe as we ended the game with all four forwards on but a clear-cut chance proved hard to find.
"We had two chances with JJ and Robbie Keane and if we'd have scored twice against Sheffield United, with their style, it would have helped us, but we didn't," reasoned Martin at Bramall Lane.
"I thought we competed with them. They play in an English style and the only thing was that we gave away a lot of corner kicks, free-kicks and throw-ins and that's what they live from and how they score.
"I thought we did okay in the first half and in the second half we were unlucky with the penalty decision.
"With a bit more quality and a bit more luck we could have been up two or three-nil, but that's England. Sheffield United kept going and made it difficult for us."
Martin Jol felt our failure to capitalise on such a positive start ultimately cost us against Sheffield United on Saturday.