The Blades scored more than two goals for only the fourth time this season as Jose Baxter (twice), debutant Matt Done and defender Jay McEveley put Colchester to the sword in a 4-1 win.
The victory moved the Blades back into the top six in League One.
Clough said: “It was a test of character at times because we’re a little bit light on confidence.
“We scored four good goals, it wasn’t spectacular by any means but we were certainly good enough to win the game on the night.
“I’m just disappointed with the sloppy goal we conceded.
“You could sense a little bit of unrest among the crowd; we’d lost at Preston and then lost at Gillingham, but last time out here in the league we beat the leaders 2-0.
“So that’s two league games and we’ve scored six goals.
“We’re not too far off, but people are expecting more from us, and that will come in the future.
“And so are we. As delighted as we are with the 4-1 win, we want more; a better performance and an attempt to get more goals in the last 10 minutes of the game.”