The iTunes Store loaded a U2 album on my iPhone I did not order

No, your account was not hacked, the album was given free to everyone a couple of months ago when the iPhone 6 and 6s were announced. If you don't want it on your account then you can remove it : http://itunes.com/soi-remove

If you downloaded it onto your phone (i.e. it doesn't have the cloud icon against it) then you should be able to delete it in the normal way e.g. by swiping/dragging from right-to-left across the tracks on the track select name, or if you have iOS 8 on your phone then you can delete the album via the album selection screen (or via Settings > General > Usage > Music)

How does it show in the Music app on your phone ? If it has the cloud icon against it then it is only in the cloud - you can turn off all cloud music via Settings > iTunes & App Stores > Music (under 'show all' heading) 'off, or you can hide that album via your computer's iTunes so that it doesn't show in the cloud (hiding and unhiding), or you can use the link in my above reply to remove it from your account.

If you've downloaded it onto your phone (i.e. it doesn't have the cloud icon against it) then swipe/drag across tracks (from right-to-left if the phone is on iOS 7 or 8) in the Music app, or you can delete entire albums in iOS 8 by swiping/dragging from right-to-left across them