Brazilian forward Fabio Gomes and defender Jack Rodwell also found the back of the net for Ufuk Talay's side at Allianz Stadium on Saturday to claim the club's third win of the season.
The victory moves Sydney closer to the top six and will heap the pressure on United, who have just two wins through the opening nine rounds.
Manager John Aloisi was suspended and had to hand duties over to No.2 Hayden Foxe, whose temporary tenure got off to a perfect start when Lachie Wales whipped in a corner in the fifth minute.
The whole Sydney defence, along with axed Socceroos goalkeeper Andrew Redmayne, were caught napping as the ball drifted across the face of goal with Angus Thurgate bundling in.
Sydney immediately went up the other end and threatened to equalise, Slovakia international Robert Mak firing a close-range effort straight at goalkeeper Tom Heward-Belle.
The Sky Blues' efforts were soon rewarded, though, when United failed to clear a corner and Gomes turned in a low shot in the 25th minute.
The Brazilian has been struggling for confidence with just one goal in eight games prior to Saturday, but the rangy forward was clearly buoyed by his strike, attempting an ambitious bicycle kick soon after finding the net.
But Sydney's next goal fell to Lolley as United, not for the first time, slacked off at a set-piece - clearing the initial ball into the box but allowing Lolley all the time in the world to unleash a powerful shot past Heward-Belle and put Sydney 2-1 ahead in the 41st minute.
Gomes continued to probe after halftime with Heward-Belle showing some incredible reflexes to keep the Brazilian to one goal.
But the visitors' No.1 couldn't prevent Sydney defender Rodwell from grabbing his first ALM goal when his 47th-minute header cannoned in.
Matthew Grimaldi pulled one back for Western with six minutes of regular time left and the Victorian side thought they had drawn level through Michael Ruhs soon after, only for his effort to be chalked off.
Almost instantly, Sydney worked their way up field and Lolley fired in a floating shot for his second of the evening to wrap up victory.