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 before transforming, has quite the smile.
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 audible 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 Teddie goes apezoidto defeat her.
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. Shadow Teddie is no mere shadow, either. He is the shadow of a shadow. An eldritch form of something already pretty eldritch. Could Shadow Teddie be even more of an abomination? In fact, its eyes and voice bring about to mind Ameno Sagiri. And finally, Sam Riegel actually manages to make Shadow Teddie even Creepier then Dave Wittenberg did, if that's even possible.
The Void Quest 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. Thanks, Atlus. The dialogue in between floors is also really creepy - one is just a single, long "AAAAAAAAAAAAAAA".
Then there's the boss itself, Shadow Mitsuo. It 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.
The entirety of the arc involving Nanako getting kidnapped, Namatame being suspected as the killer, the boss fight of the dungeon, and the dungeon itself.
First, the arc is rife with Adult Fear. You're a cop still trying to chase after the criminal who killed your wife, leaving your daughter without a mother. Then you get caught up with a case of mysterious murders, only for your daughter to be the next victim...
Then, there's the dungeon, named Heaven. At first, that doesn't sound too bad, as it does the great music, design, and atmosphere. The disturbing part comes in the fact that it partly comes from a guy who has a messiah complex, the fact that even though it looks heavenly, the monstrous Shadows still invade it, and while this is a touch more sad than scary, it also partly comes from a girl who misses her dead mother and wishes to be with her once more.
Next, is the boss, Kunino-Sagiri. Let's start with how it first enters the scene: The Shadows present starts merging with Namatame, his body bulging with every Shadow that enters his body as his body turns red as Namatane lets out one of the most blood-curling screams in the game. And onto the boss itself, it appears to look like a cross between a Muppet and a giant, animated fetus. It has gears coming out of its head, and bulging, yellow eyes that lack pupils. It looks like it is dressed up like a peace-loving hippie, complete with heart and peace symbols on its angel-like robe, and even flashes "peace" symbols with its gnarled, rotting fingers. A hideous creature like that with that imagery is remarkably unnerving. When its HP gets low enough, it goes limp and slacks its jaw like some sort of bug-eyed corpse. Its battle theme, while awesome, also sounds droning, grating, hopeless, and rather alien-sounding. And finally, it is found at the very top of Heaven, something Yunalesca would be envious at.
And finally, if you do not make the right choices after the dungeon, you could get the Bad Ending. And that is, you get caught up in the heat of the moment and kill Namatame, even though the truth is still out there and Namatame is not the killer. Congratulations, you just killed the wrong guy, your little sister is now dead for good, and the fog continues to grow thicker as you've stopped reaching out for the truth.
In the last month of the game, Inaba becomes shrouded in fog. The player, and the residents of the town, will probably just dismiss it as regular post-rain fog. However, the fog does not cease, and the weather forecast indicates that the remaining days will be foggy. 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. On top of that, if you fail to finish that month's dungeon in time, it's not just one person getting killed this time, the Shadows from the TV World are heavily implied to have come into the real world, bringing about The End of the World as We Know It.
Izanami, the True Final Boss of the game, is very horrifying. 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 every time it even casts a skill. To make matters worse, if you thought Nyx's Night Queen from Persona 3 was bad, this boss takes it up to eleven, using a skill that inflicts your party with a random status ailment (unless you avoid 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. Worst of all, if you do not know that it is actually scripted, then it is downright panic-inducing to see the long boss battle suddenly take for a worse, just when you think you've won.
The Reveal of the killer's identity makes things a LOT more disturbing when you realize that you've had dinner with him, he's been in your house, he's behind all of the madness, facilitating the deaths of several people, including your surrogate little sister, manipulating a guy into doing the dirty work and then watching everything unfold, and you had no idea. And to make matters worse, when you actually fight the killer, the familiar Persona critical cut in shows up flashes on the screen with a red background, revealing that this psycho also has a Persona. Finally, it's a little chilling to hear Johnny Yong Bosch audibly go from a bumbling, incompetent detective, to a twisted, terrifying villain, especially to anyone familiar with who he usually voices.
Golden manages to make the killer 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. Worse yet, you still get the "Social Link Complete" sequence, in a pretty terrifying Mood Whiplash. In any case, enjoy the Accomplice Ending.