It was quite amazing, I couldn't see who it was that was causing all the fuss. Didn't realise that she's (evidently) a big name over here. As you can probably hear from the clip, it was mainly teenage girls in the crowd.
The set-ups are different on each, but mainly a slightly makeshift pair of binaural headphones and a mini-disc recorder and/or a Zoom H1 handheld digital recorder. The Clapham Junction train recording was caught on an iPhone.
All basic stuff, but seems to work OK.