When Adachi the killer was finally revealed in the game and the original Animation, he was pretty creepy. In this anime? We get a whole episode exploring his twisted psyche. This shot◊ ups the ante tenfold.
Episode Seven: "It's cliché, so what?"
Marie erases her existence from everyone's recollections, preparing to become Kusumi-no-Okami, leading up to some very creepy moments in the following episodes...
Episode Eight: "Not So Holy Christmas Eve"
You start watching straight after Marie erased herself, and suddenly, Igor and Margaret are back, Margaret congratulating Yu on his successful defeat of Izanami, then, as almost a Gut Punch, the ORIGINAL Persona 4: The Animation intro and music returns. Well, Why was it Golden again? Oh yes, Marie. Who no longer exists...
During the ending theme several parts are completely void of color with the scene where Marie turns around to see the Investigation team is replaced her turning to see absolutely nothing. The last part of the song, showing the memories that were made by Marie and the Team is completely black and gone, as supposed to Episode 2 where they were still lit up but blank white due to not being made yet.
An in-universe example. The Investigation Team watches back some of the footage that was shot with their camera, but they realize that none of them shot the footage and none of them know who did. Of course, the viewers know that Marie filmed them and that the Investigation Team has forgotten about her, but even then it is still very creepy.
Even more creepy is the fact they don't know who got the camera in the first place! Marie, of course, to record memories.
At several points, they talk about things they did with or for Marie, and are confused and slightly frightened by the fact that they can't remember WHO they're talking about.
The OVA covers The Accomplice Ending from Golden. Only now we can better see Yu's reaction to hiding the truth from his friends and essentially selling his soul in a naive attempt to save Adachi.