The season ends with a carnival in the capital and the lottery of the play-offs.
With United needing a win to be in with a chance of automatic promotion going into the last game at Neil Warnock's Crystal Palace, almost 7,500 fans made the trip to Selhurst Park, many clad in fancy dress.
However, the carnival atmosphere was spoilt by a man of the match display from Palace goalkeeper Julian Speroni and the news that Birmingham had won at Reading to secure second spot and a promotion place alongside Wolves.
It meant that, despite accumulating 80 points from a long, arduous season, United's campaign would continue into the play-offs, beginning with a two-legged affair against Preston North End.
By virtue of finishing higher than the Lilywhites, United travelled to Deepdale for the first leg and trailed to Sean St Ledger's first half goal. However, the home side struggled to cope with Kevin Blackwell's high-tempo instructions and were happy to settle for a 1-1 draw after Brian Howard levelled just after half-time.
For the home leg, just three days later, United were without injured strikers Darius Henderson and Jamie Ward but again dominated and Greg Halford's header was the least that the Blades deserved.
It was, however, enough to send the Blades to Wembley to face Burnley for the last remaining Premiership place on offer and more than 37,000 Unitedites queued for tickets to the showpiece.
On the evidence of the performances in the semi-finals, United were tipped to do well but on Bank Holiday Monday a penetrative strike from Wade Elliott ensured that Burnley had completed a hat-trick of wins against the Blades, who had also chalked up a hat-trick of defeats in play-off finals.
May's League Record:
P1 W0 D1 L0 F0 A0 Pts1