Persona 4 takes place in a rural town named Inaba. There have been mysterious murders occurring whenever there was fog after heavy rain. There were also rumors about a channel on television airing only at midnight called Mayonaka TV, during which it is said that one can see his/her "other half" when staring at the TV screen.

After hearing about a recent unsolved murder which occurred during the fog, the characters—Narukami, Chie, and Yosuke—discuss how each of them had attempted to watch the mysterious TV channel and witnessed the murder victim. The protagonist later realizes that during midnight when the channel is on, his body can phase into his television set as a gateway to enter another world infested with shadows.

After discovering this, they all decide to explore. When first completely entering the world, dazed and confused, Narukami meets Teddie. Mayonaka TV and the town murders seem to have a connection. The murder victims may be merely victims of Mayonaka TV. Everyone decides that they will together try to solve the mysterious murders by exploring the hidden world of Mayonaka TV.

[Source: MyAnimeList]

Unaired episode included with the 10th blu-ray volume adapting the true ending from the original PS2 game.

Spring. A rural town, far removed from the city, that spends its time peacefully. A boy arrives at Yaso Inaba Station, where the cherry blossom petals are falling. His name is Yū Narukami. Due to his family's situation, he moves to Inaba to live with his uncle, and attends Yasogami High School.
From there, his school life begins: The shopping mall after school. The serial murders happening in the town. The Midnight Channel that comes on late at night...

What days are waiting for Yū and his friends "this time"?

[Source: official website via Anime News Network]

After Yuu finds out the past and circumstances of Adachi, he makes a single decision in order to save him.

[Source: Anime News Network]