What is this pod at the wing-tip of a U2?
The pod contains the Radar Warning Reciever (RWR). The variant in the picture is the TR-1B, which had wingtip mounted RWR units. According to globalsecurity.org:


  The Air Force has fielded new electronic countermeasures on the aircraft, giving it a jamming capability and upgraded radar warning equipment with wing-tip mounted digital receivers.


As an another exmaple, SAAB seems to have put RWR on the wingtips of Gripen, though the equipment are certainly different (U-2 uses AN/ALQ variants).

Note that the bottom of the 'pod' has (wingtip) landing skid at the bottom and navigation light on the side. The RWRs face outside at an angle of ~45$^{\circ}$. This (containing RWR, skid and nav lights in a single package) is a later design and was added to the exiting U-2Rs as retrofit. It was not avialble in the earlier models.