But the final word went to fly-half Charlie Hodgson, who slotted a 79th minute drop-goal to claim the points for the Mancunians.
In a terrific match, which included six tries, some excellent goal-kicking, and a rare drop-goal from England wing and Sharks' captain Jason Robinson, the Sharks were made to hold on at the end for several agonising minutes of injury time and protect their slim lead.
Robinson's was the first name on the scoresheet, a burst from Hanley giving the England speedster space and time to drop a goal.
After Wasps had camped on the Sharks line for several phases, a handling error by Tim Payne set up a counter-attack by the Sharks, culminating in a try for Robert Todd, which Hodgson converted.
In between, Josh Lewsey crossed the line for Wasps, but was held up by a superb tackle from Robinson.
Wasps were not to be denied for too long though, and tries from Peter Richards, who ran a superb angle to cut the defensive line, and the atoning Tim Payne, both converted soon had Wasps in the more familiar role of leader.
The kickers then exchanged penalties to make it 17-13, before Hanley picked off a loose pass and stormed home for another converted try, but Sale were denied the lead at half-time as Alex King slotted a tricky penalty to send the teams in 20-20 at the break.
Hanley continued where he had left off, dotting down another score two minutes into the second half, and again, Hodgson added the extras.
But just five minutes later, Matt Dawson dived over for his first ZP try in a Wasps shirt, King clipped over the conversion, and the teams were level again.
Hodgson booted another penalty on 56, but a Mark van Gisbergen kick with three minutes remaining after more sustained pressure on the Sharks' line looked to have earned the men in black a share of the spoils.
Then Hodgson whacked over his drop just a moment later, and Sale clung on for a victory in a match which will have left every one of the 7,011 people there talking about it into the night.
For London Wasps:Tries: Richards, Payne, DawsonCons: King 2, Van GisbergenPens: King 2, Van Gisbergen
For Sale Sharks:Tries: Hanley 2, ToddCons: Hodgson 3Pens: Hodgson 2Drops: Robinson, Hodgson