Doing this on a New Game+ - you can easily beat every FOE in You In Wonderland on your first playthrough, the Group Date Cafe isn't much harder, and even the Old Doll can be brought down.
At the beginning of the P4 route, when the Investigation Team finds the "You in Wonderland" door, Naoto pulls out her gun and tells Yu to open the door for a door breach.
Naoto upstages Mitsuru at the Catherine-themed shooting gallery with her own shooting prowess by shooting one of the sheep figurines, leaving a tunnel where his heart would be — without looking straight ahead at the target!
Aigis then ups the ante by unloading on the entire gallery — not a single bullet misses.
The ending of this game gives the phrase "killing time" a whole new meaning. The cast effectively KILLS Chronos, the current embodiment of the human concept of time, allowing his human side, Zen, to pass on to afterlife with Rei and a new, less human-hating Chronos to be eventually (and hopefully) born. Oh, and did we mention that Chronos, additionally to being a force of nature, has power over human lifespans, something he is not afraid to make use of in his boss-fight? Trust me, this is one feat that will always feel impressive, even when you're playing on Easy Mode.
After having to put up with The Reaper chasing you throughout most of the Clock Tower, ending the dungeon by boxing him in against a piston so he can't follow you is incredibly satisfying. Well, the next best thing next to actually beating him, anyway.
The protagonists gaining their Ultimate Personas by being pushed into a life-or-death situation by Margaret definitely counts as this.
Right before the second boss fight, under certain conditions when you're about to be wed, Aigis can say "I object to this wedding!" along with the other characters running in to help you.
You're just before the first boss, who's sending wave after wave of mooks after you. They're not that challenging, but there's no way you can keep on fighting. Cue the cast of the other side appearing, with their respective battle music playing (Mass Destruction for Persona 3's cast, Reach Out to the Truth for Persona 4's), and being able to kick some ass with the other team before taking on the boss.
In the Third Labyrinth, the Evil Spirit Club—which is a haunted house-themed labyrinth that is as creepy as you can expect—the party ends up falling through the floor and into the level below, separating the protagonist, Zen, and Rei from everyone else. The only way to reunite is to find some key cards and unlock a door separating the groups. Simple enough, right? Except the cards are in a separate room, and the protagonist and Zen have to stay behind to keep the door open. So Rei—scared and alone, with only your guidance for backup—goes and toughs it out. She's absolutely terrified by the dark and the lurking FOEs, but her will and determination to rescue the others keeps her going.
Simply, the opening. To those who loved both P3 and P4, seeing for the first time the two protagonists shake hands and then both casts interacting with each other is awesome.
The optional boss, Zeus. He possesses Elizabeth right as she summoned him as a Persona. And according to Rise, she was at 100% of her power! He then verbally smackdowns the characters, calling them cowardly sheep, and then you and your allies proceed to fight him, to the tune of The Person Is Then Called Away From War.
It's also one of the most awesome forms of playing with a trope there is. When you know who Zen really is, Zeus' behavior suddenly turns into a very literal Mythology Gag.
One for Keith Silverstein (Zen) and Ashly Burch (Rei)'s voice acting: Thanks to them, the flashback scene of their first meeting and the events that lead up to the plot of the game is perhaps the most memorable part of the entire game.
Meta-wise, the scene in 3 route where Koromaru tries to eat the protagonists after their turn tiny in the First Dungeon. This happened in Alice's Adventures in Wonderland, when Alice turned tiny, a puppy showed up. This only happens in the book meaning the creators almost certainly read the book when doing this dungeon and not just watch one of the adaptions. Its just nice to see that actual effort was put into the dungeon.