How about the Xibalba? You have this spacecraft filled with nothing but vile monsters, aliens, and the darkest truths about the whole adventure you've taken so far. Themusic just makes you feel all alone inside an alien world that's really the collective unconscious.
Nyarlathotep as Jun's Persona◊. Y'know, the fella gets extra fear points for a reason: we madehim. Every single tiny act of evil you've ever experienced or acted upon... it just makes him bigger. We made him. And he lives inside of us. Funny thing... didja know he was the one who arranged the events of Persona, too? Just to give us a chance to destroy all of reality? A mass of unrepentant madness and evil, hating everything and everyone... is it any wonder he wants it all to die? And even funnier... didja know he wins?
Even worse, it's based on a real-life simulation of what would happen if the Earth suddenly stopped moving (which an NPC mentions what would happen should the prophecy is fufilled.) Inertia would literally blow everything apart on the Earth's surface; buildings would collapse, vehicles and people would be suddenly be flung at violent speeds, pretty much killing off most of humanity and society.
Eternal Punishment's JOKER-possessed victims aren't exactly a walk in the park either. They end up with a white-face with no features except for that wide, creepy smile, and speak in a sing-song high-pitch voice. Add to the fact if they cast Old Maid, your own party will temporarily turned Joker and kill everyone if you're not careful.
"You IDIOT! You still don't get it? YOU'RE the one I want to kill, MA-YA!"
Let's not forget how Jun's dad was said to have died in Innocent Sin: crushed to death in the gears of a clock tower. Or when he appears before the party - crucified alongside Jun's mother (as Queen Aquarius) - before one of the final boss battles. One starts to think that Jun's entire life has been one Nightmare Fuel moment after another.
The very idea your life could completely change because of a careless rumor. Picture that for a moment.
To elaborate: The changes are retroactive and have no sense of scale. As long as enough people believe it, the world will change to accommodate. Your entire life could be rewritten and become a huge Trauma Conga Line, and you wouldn't even know why. After all, your life's always been like that. Hasn't it?
The Joker's curse. To stand in place, devoid of dreams or hope, as everyone you cared for forgets you existed at all.
Tatsuya Sudou's life. His father decided to hide the poor guy away in a failing sanitarium, though he clearly needed medical attention, and tried to actively kill him! It's suggested that his father's men followed him to the Aviation Museum (part of the reason the blimp blew up instead of just crashing). His moments of clarity are far more frightening than his psychotic rage. Even worse, it's implied he's just as much a victim, as he was targeted by many rumors in his childhood...
There is a legend explained during Eternal Punishment-the story of Kiyotada Sumaru, the tyrant ruling over the area of Sumaru City in the Period of Warring States. He was so bad, his servant Tatsunoshin Suou, and Suou's retainer Junnosuke Kuroda and his lover Maihime Amano, teamed up and killed him, but not before Sumaru managed to gore Amano with a spear, leaving Suou broken as he told Kuroda to burn down Sumaru Castle. Interesting story, huh? After scattering the rumors of the spirits, you find the mummies in the ruins of Sumaru Castle and gain the ability to summon them as Personae. The problem? It's very heavily implied the history is entirely false... and you've altered history by scattering the rumors.
During the final segments of Eternal Punishment, as the Torifune is in the collective consciousness, you can see the people utterly terrified at their current situation. Especially the ones who have been brainwashed by the Kegare removals. Their brainwashing can't even protect them from the horrors they are facing. One NPC in particular tries to be optimistic that it will all work out; that or else he'll take everybody down with him.
The Alaya Shrine incident from Maya's point of view. Your friends locked you in the shrine with another one of your friends. You think someone will come along tomorrow, so you play with your friend until you get rescued. Then you try to get your friend out so that he can unlock the doors for you. Once he climbs out, you hear him shout in pain. There's someone else out there. You can't tell what happened, but suddenly you start smelling smoke. Someone set the shrine on fire. You start pounding on the doors, shouting for your friend to help, but for some reason he isn't answering. You start suffocating from the smoke, still screaming for help. No one answers. A shriek of pain reaches your ears. You don't know what happened to your friend. It's not called Traumatic Superpower Awakening for nothing. Maya survives in the end, but not unscathed. She has severe pyrophobia from then on.
The sheer Adult Fear involved in The Alaya Shrine incident. Say you're Maya's mother. You and your daughter are moving away tomorrow, and you let her go visit her friends for one last time. She stays out a bit late, but you think she's just lost track of time playing. You allow her because it's her last night. Hours pass. You think something's wrong. Then you get a call from the police. They inform you that your daughter is in the hospital. She was locked in by her friends because they didn't want her to leave, and by complete coincidence, the serial arsonist you heard about on the news set fire to the building she was in.
The music in the Leo Temple. Unlike the other temple BGM, this nightmarish track is unusual for a temple that is suppose to be a holy place. It doesn't help that part of the track has voices that can't be fully understood and the blood-red architecture it gives off. Perhaps it is created through Tatsuya Suou's feelings of being lost in life and fear of becoming like Tatsuya Sudou if he lost everyone he cares about.
There was originally going to be an anime adaptation titled Persona 2: Another Side. While the full anime was sadly never released, the trailer came on the second disc of the US release to Eternal Punishment. During said-trailer, a particular scene stands out where a random high school student is sobbing while on her knees, her face buried in her hands. Seconds later, she reveals her face, which appears fine at first...until the right side starts melting like clay, eye included. The scene used to be the page image but was removed for its disturbing content. It can be seen here◊.