Matty Taylor opened the scoring from a set-piece but Dale were back on level terms soon after when Lund struck home from close range.
The home side regained the lead early in the second half through Sam Hoskins, but two quick fire goals saw Keith Hill’s side leave with the points. Lund curled an effort beyond David Cornell and headed home to claim his hat-trick.
There was one change to the side that lined-up against Scunthorpe United as Keith Keane returned to the side, replacing Harrison McGahey in the back four.
Rochdale had the first chance of the game, when Keane picked out Callum Camps. The midfielder in turn found Henderson with an excellent through ball, but he could only send his effort wide of the target.
Ollie Rathbone hit just over the bar from the edge of the six-yard box, after Joe Thompson showed an exceptional work-rate to beat the offside trap and keep the ball in play before delivering for Henderson, who chested the ball into the path of the former Manchester United midfielder.
Despite the early opportunities for Dale, it was the home side who opened the scoring in the 16th minute from a set-piece. Matt Taylor struck the free-kick from 25-yards low and into the bottom corner of the net.
Rochdale responded almost immediately and they were back on level terms within three minutes. Joe Bunney dummied his marker after getting to the byline and delivered low across the face of goal. After a taking couple of ricochets, the ball fell kindly for Lund and he finished from close range.
Shortly after the half hour, Henderson had a great opportunity to put Dale in front, but he sent his close range effort, which came from a Bunney delivery, past the post.
The game was end to end at times, but despite the Cobblers showing plenty of attacking intent, they had few clear cut opportunities, with their most notable chance before the half was out coming through Sam Hoskins, who flashed a cross-come shot across goal and wide of the target.
Dale twice came close to taking a lead into the interval, but the ball went agonisingly wide on both occasions.
Henderson toe-poked a Bunney delivery wide from close range, before Bunney was involved again as he picked out Davies at the back post, with the forward heading just inches wide.
HT: NORTHAMAMPTON TOWN 1-1 ROCHDALE
Four minutes into the half and Logan produced a tremendous reaction save at his near post to keep out John-Joe O’Toole.
Soon after, Thompson dug out a cross, finding Ollie Rathbone in the area, and he headed over the cross bar.
A minute later and the home side hit Dale on the break to regain the lead. After racing to latch onto a through ball, Hoskins finished into the bottom corner of the net and beyond the outrushing Logan.
Dale responded superbly to going behind again, and Lund pulled Rochdale level for a second time, just four minutes after Hoskins had put the Cobblers in front. Thompson’s effort, which was blocked, fell for Lund and curled a brilliant effort beyond David Cornell.
Six minutes later and Dale were ahead, as Lund netted his third of the afternoon, heading home from a Bunney cross.
Calvin Andrew had replaced Rathbone shortly before the goal and a double substitution followed ten minutes later.
The game continued at a frantic pace as Northampton went in search of an equaliser, but despite throwing plenty at Dale, Hill’s side defended resolutely, and Rochdale had opportunities to put the game out of sight.
Henderson struck narrowly wide the target with six minutes left to play and in stoppage time the unmarked Thompson hit over the bar after Mendez-Laing had skipped into area.
At the full-time whistle, every single one of the Dale players headed over to applaud the visiting fans who made the trip for today's game.
FT: NORTHAMPTON 2-3 ROCHDALE