He did the same on Wednesday night, walking through an excited crowd before jumping on stage and giving a heart-stopping performance of Little Red Corvette.
This was stripped-down soul at its best, a jaw-dropping moment of such brilliance that reminded me why I have followed Prince since 1983.
The two hours before that? In a word, brilliant - polished, slick professional, with a focus on the music rather than stage trickery.
Backed by a highly competent band (including former James Brown band member Maceo Parker on saxophone), the emphasis was on crowd-pleasing hits.
But close to half a million people will see Prince at the O2, and this is exactly the show that will keep them happy.
Opening number Purple Rain, Kiss, Let's Go Crazy and Take Me With U would leave most, if not all, other performers for dead.
But the new material also worked well, Satisfied, Lolita and Musicology holding their own against his tried and tested hits.
I thought I had already seen the best of this man, all the tricks and surprises he can muster.
But I was wrong. With Prince you should always expect the unexpected.
"
In 1992 during his Diamonds and Pearls tour, Prince played a little trick of leaving the stage at the end of a performance, encore and all, with the house lights on and the roadies dismantling the stage.
He would then reappear when most of the crowd had exited the arena, clad in a dressing gown, and play another short set.
The sound was big and bold, if slightly Las Vegas at times.
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