The calls you get if you fail to rescue someone will probably haunt your dreams. Especially the last one from Naoto, wherein she is murdered by Shadows while on the phone with you.
Shadow Yosuke is your first exposure to the reality of what exactly a shadow is: It's a manifestation of all of your worst flaws and suppressed dark thoughts, and if you deny it, it will kill you.
Shadow Chie, of all people, before transforming. That smile could give Adachi lessons.
Shadow Teddie. Pictured above, Shadow Teddie is a giant perversion of your favorite pun-spewing teddy bear, with eerily glowing eyes and two giant holes in his face, revealing that there's nothing beneath the monster's husk. Also, he talks with this intimidating voice, going on about how futile your quest for the truth is. Chie sumed him up the best.
Chie: Was that creepy thing really inside our Teddie?
Shadow Rise is a GIANT multicolour girl tangling herself around a dance pole. With a satellite dish for a face. Her attacks involve her screeching "FEAST YOUR EYES!" or moaning, while humping the dance pole between her legs with a very audiable squelch. Even her portrait of all things is just a tad too creepy. And don't forget that because of her inherent powers, you can't beat her; scary thought if you don't know that the fight will eventually cut to a scene where Teddy goes apezoidto defeat her.
Mitsuo's dungeon. Everything's a game! Hurting people just lowers their HP and entertains you! And, of course, you're playing a game just like the one in his mind a couple generations down the line, and grew up on games exactly like the ones that make up his id. THANK YOU ATLUS sob. The dialogue in between floors is also really creepy - one is just a single, long "AAAAAAAAAAAAAAA". And Shadow Mitsuo, transforms into a floating aborted fetus that speaks in a very creepy, empty-sounding voice. Then there's the matter of his line before starting the battle proper...
I am a Shadow. Come...I'll end your emptiness.
Fighting Kunino-sagiri was nothing compared to getting to him. There is nothing more unnerving than the presence of The Heartless in the one place they should not be. Some of the other boss Shadows were much scarier, seeing as they are Anthropomorphic Personifications of real mental issues. When fighting any one of them, just think about what it takes to spawn that.
The boss fight with Kunino-sagiri. It's like a cross between a Muppet and a giant animated fetus. With gears coming out of its head. And bulging, yellow, pupiless eyes. And a really grating, hopeless, alien-sounding electronic battle theme. And when you get it's HP low enough, it goes limp and slacks its jaw like some sort of bug-eyed corpse. For bonus fun, you can find him at the very top of Heaven. Somewhere, Yunalesca is seething with envy. Even worse, it's dressed up like a peace-loving hippie, complete with heart and peace symbols on its angel-like robe. And just before the fight begins, it even flashes "peace" symbols with its gnarled rotting fingers. Something about that is remarkably unnerving.
When the last month of Persona 4 begins, Inaba becomes shrouded in fog. Most residents (and likely the player) will think "oh, this is just the typical post-rain fog." The fog does NOT stop this time (as indicated by nonstop cloudy days on the weather forecast), it progressively gets thicker, and the new town "music" isn't really music so much as some very ominous and quiet sounds. Various people start falling ill, students start to talk about some pretty outrageous things like a "healing club" and the idea of being turned into a monster (and talking about it like it's nothing), and class gets progressively more on edge. Moreover, if you fail to finish this month's dungeon on time, instead of just one person getting killed, it's heavily implied that the Shadows from the TV world come into the real world, bringing about The End of the World as We Know It.
Izanami. For the very final boss of the game, she is a very horrific existence. The first phase isn't so bad, until the Orb of Sight that's been happily sitting in your pocket reveals its true form: a giant red skeleton whose screams rival a banshee and makes a disgusting noise everytime it even casts a skill. To make matters worse, if you thought Nyx's Night Queen from Persona 3 was bad, Izanamitakes it up to eleven, using a skill that inflicts your party with a random status ailment (unless you void it) and then slaughtering any unfortunate member unlucky enough to be inflicted. The icing on the Lovecraftian Cake is the penultimate attack — A Thousand Curses. First off, it looks like a mass of hands coming out of a blood-red abyss ready to drag its victim down to hell; then your comrades sacrifice themselves one by one until there's no one left to protect you. Uh oh.
At the very end of the game, when the final boss starts permanently killing off your party members. If you don't know it's a scripted event, it's downright panic-inducing to see the hour-long boss battle suddenly take a turn for the worse, when the health bar looks like it's only one attack from dying.
Golden manages to make Adachi even creepier, by adding him as Social Link. Provided you get the link high enough by the time the Investigation Team are trying to figure out the killer's identity, you get the option to protect him. Doing so initiates a Time Skip to the Protagonist's final day in Inaba, at which point he privately confronts Adachi and asks he's the killer. However, he continues to play dumb, right up until you choose to burn the letter that he sent you & was the only thing linking him to the crimes, at which point he makes this face◊; before not only admitting to his crimes, but pointing out that destroying evidence is a crime. He then tells the Protagonist that whenever he calls, he will pick up and will not to try to change his number, because Adachi will track him down. Enjoy the Accomplice Ending.
Adachi: Goodbye, partner.
Even worse, you still get the "Social Link Complete" sequence. Possibly the most terrifying example of Mood Whiplash ever.