These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Alternative Character Interpretation: Philemon isn't like the Abrahamic God, being all-powerful compared to Nyarlathotep's Devil. No, Phil and Nyarly are roughly equal in power and Philemon is actually saving us by making "the bet" - because if he didn't push Nyarlathotep into accepting a game with rules, using humans as the pieces, then Nyarlathotep would just lash out first and destroy everything. This way, we get a chance and Philemon gives us the power to keep pushing back. He is still kind of a callous jerk about the damage this does to his chosen champions' lives, though.
Anticlimax Boss: If you prepare for the bosses, they'll become this trope. It's also possible to kill 'em all with Armageddon.
Author's Saving Throw: The North American version of Eternal Punishment is a peculiar example, as it reverted the original Persona's characters back to their canonical Japanese surnames. For sake of continuity, however, the characters' first names were left Anglicized. The localization team tried to compensate for this Continuity Snarl by retconning some of the bigger translation goofs; For example, the revelation that "Guido Sardenia" is actually an alias for Guido Kandori, the previous game's antagonist. He's still named Guido, due to Nate and co. retaining their western names, so Eternal Punishment breaks even and just calls him Guido Kandori.
Awesome Ego: For most of Innocent Sin Eikichi Mishina would happily talk about how awesome he is, and most of the fans of the game would agree.
Fridge Brilliance: Honestly, a majority of the plot and setting can be considered Fridge Brilliance, as the more you look at it the more everything seems to lock together on a variety of levels. Even the most bizarre aspects of the game end up being justified since reality becomes whatever nonsense is spread widely enough by word of mouth, no matter how insane or stupid the rumor happens to be. Even the things that don't make any kind of sense, on reflection, make perfect sense.
Case in point: Hitler. Just some random bull used as an excuse to introduce new villains, right? Nope. The Nazis are actually symbolic of the evil humans commit in groups (for example, Hitler didn't invent anti-semitism, and no-one told him to stop). This also foreshadows Hitler actually being Nyarlathotep.
Fridge Horror: In EP when the gang get trapped in the Kimon Tonku formation, there's a TV Producer who is quite rightfully scared about being trapped. We don't see her again after the spell is broken and everything returns to normal. Was she still stuck under the influence of the spell?
Ho Yay: Jun Kurosu, who definitely sees Tatsuya Suou as more than a friend.
Parts of the game and interviews would imply Suou and Kurosu are the intended Innocent Sin pairing. Specifically scenario designer Satomi Tadashi note Interestingly enough, he seems to ship both Tatsuya/Maya and Tatsuya/Jun and character designer Kaneko Kazuma.
Les Yay: Yukino and Anna in Innocent Sin. If you pick the wrong choice to leave Yukino behind at the entrance to Caracol, you encounter Shadow Yukino and Anna instead of the Longinus mechs, at which point Shadow Yukino kisses Anna. After the battle, Anna will jump off the bridge in Caracol holding hands with Shadow Yukino, who convinced her to do it so that they would be together forever. If you bring Yukino, she will, after you fight Joker, give her Persona ability to Jun and go off into the city to fight Nazis with Anna, who has promised to look after her now that she doesn't have her Persona anymore.
Moral Event Horizon: Believing and support in the apocalypse started by Nyarlathotep would be bad enough, but Okamura definitely crosses one when she stabs Maya with the spear of Longinus, killing her in Innocent Sin.
Narm: Hitler wearing sunglasses in the PSP remake.
Never Live It Down: Even if Philemon is the personification of human's goodness and tried his best to help the heroes against Nyarlathotep with his hands tied, good luck finding people who won't consider him a jackass because he made the bet with Nyarlathotep in the first place.
Sophomore Slump: Eternal Punishment is generally considered to be the Return of the Jedi of the two, as it can't quite measure up to the pathos of Innocent Sin. It doesn't help that half the game is dedicated to the events of Persona ONE.
That One Boss: The Final Boss of Innocent Sin, Great Father Nyarlathotep. He can launch five attacks in one turn and will pretty much annihilate you unless you're at a high level. In Eternal Punishment the Metal Trio. They don't have much HP, but they're immune to physical damage all have really strong attacks that hit your whole party.