Like a lot of the Yeah Yeah Yeahs’ best songs, it started out softly yet menacingly. All the fans heated up from the rockier tunes that preceded it quickly cooled and stood at attention as frontwoman Karen O uncharacteristically froze in position and stared at them from under cold blue stage lights.

“Oh despair, you’ve always been there,” she sang, her delicate voice adding to the hush. “You were there through my wasted years / Through all my lonely fears.”

As it built in tempo and temper Monday night at First Avenue in Minneapolis, the Yeah Yeah Yeahs’ manic new single “Despair” — issued as a music video earlier that day — crowned yet another unforgettable performance by the celebrated underground band that has been the club’s most thrilling live act over the past decade.

Climaxing into a fist-in-the-air triumphal march, “Despair” set up a grand finale that just kept getting grander, with the recent gospel-tinged single “Sacrilege” leading into “the throbbing angst of 2009’s “Cheated Hearts.” Those songs kicked up goose bumps that carried over into the encore with “Maps,” the song that first taught us nine years ago how compellingly brutal the Yeah Yeah Yeahs can be when they’re playing it soft.

On their first tour in four years, the New York trio easily could have headlined Rock the Garden or some other big local gig. Monday’s long-sold-out concert was the one club show amid a summer of festival dates and other big outdoor gigs for the arty rockers. Lucky us.

Decked out in a spangle-covered banana-yellow jacket with matching shorts, Miss O and her black-clad bandmates played to the room by tearing through some of their loudest and harshest tunes during the first half-hour of the 85-minute performance — a sharp departure from their other set lists this year. If anybody had forgotten they’re a punk band at heart, “Black Tongue,” “Down Boy” and “Heads Will Roll” provided a refresher course. Oddly, though, the group left out two of its rockiest live staples, “Phenomena” and the title track of their new album, “Mosquito.”

And if anybody doubted they’re a true band with separate but equal parts — and not just one woman’s showpiece — drummer Brian Chase and guitarist Nick Zinner repeatedly reminded the crowd in songs like “Zero” (with its cool, non-electronic electro beats) and “Sacrilege” (filled with subtly dramatic, Edge-like guitar fills).

What a show O continues to put on, though, spewing water sprays into the stage lights, dancing like an overexcited, mascara-strewn cheerleader and dangling her microphone all over her body with vaguely sexual and/or violent gestures.

The intensity only went up after the tempos went down. It started with the ghostly urban ballad “Subway,” which O delivered with her head pressed up against the face of auxiliary band member David Pajo. That led to the eerily elegant, Cure-like melancholy of “Turn Into,” featuring the previously foreign YYY addition of (gasp!) acoustic guitar. And then came “Despair.”

“We’re all on the edge,” O sang in the dramatic new opus. Were we ever.

Breaking from character during the encore for just a quick, charming minute, O welcomed Minnesota soul-pop singer Har Mar Superstar to the stage for a birthday sing-along to Pajo. “This is sort of a recurring role,” Har Mar cracked, referring to the fact that he also delivered a birthday cake to Karen on stage at First Ave back in 2003 when he opened for the first YYYs tour. She's been delivering blowouts here from the start.