"Philemon and other figures of my fantasies brought home to me the crucial insight that there are things in the psyche which I do not produce, but which produce themselves and have their own life. Philemon represented a force which was not myself. In my fantasies I held conversations with him, and he said things which I had not consciously thought. For I observed clearly that it was he who spoke, not I. ....Psychologically, Philemon represented superior insight. He was a mysterious figure to me. At times he seemed to me quite real, as if he were a living personality. I went walking up and down the garden with him, and to me he was what the Indians call a guru..." (Carl Jung, Memories, Dreams, Reflections.)
Everyone's favorite masked weirdo! Philemon was the spirit guide for Carl Gustav Jung, the Swiss psychologist whose works and ideas form the basis of the Persona games. Jung said that Philemon had been guiding him ever since he was young. At first he thought that Philemon was merely a version of himself, but then he came to think that Philemon was an aspect of his psyche that he himself had not created. Jung drew pictures of various things, mostly dreams, and collected them in his Red Book. (If you don't know, in the Persona Tsumi to Batsu manga, there is a Red Book and a Black Book filled with personae, and Kaneko Kazuma's artbooks of demon art have been the Red Book and the Black Book; the third artbook in that series was the Purple Book.) Jung's version of Philemon was a stern-looking elderly man with wings and a halo, who carried a set of keys.
Philemon's trademarks are the golden butterfly and the mask. The butterfly is the symbol of the immortal soul in many cultures. In classical Greek, the word for the soul - psychi - was also the word for butterfly. (They're different words in modern Greek.) This word has come down into English as the word psyche. Since Philemon is a guide of the soul, blah blah, he takes the form of a butterfly.
The mask motif is amusing, really. All over the Persona games you see masks. Philemon, the Masquerade members and Executives, the Joker - all of them wear masks. One might initially assume that it's just to hide their identities, but it's actually Significant and Symbolic, of course. "Persona" was the Latin term for the mask worn by actors to indicate what role they were playing at the time. Nobody uses it in that sense anymore; a persona in modern English is used in the psychological sense. A persona is an aspect of your personality (look at the word!), or a role you're playing at the time. Musicians have "stage persona," etc etc. It's the way you act in different situations; you aren't the same person around your friends, parents, and employer, are you? As children, Tatsuya and his friends played with masks, because with the mask on, they were "allowed to be someone else." That's the essence of a psychological persona.
Now, a crapload of the concepts in the Persona games comes straight out of Jung's writings - the animus, anima, collective unconsciousness, Shadow, persona, blah blah. If you want to read more about his theories, this isn't a bad page.
"And it was then that Nyarlathotep came out of Egypt. Who he was, none could tell, but he was of the old native blood and looked like a Pharaoh. The fellahin knelt when they saw him, yet could not say why. He said he had risen up out of the blackness of twenty-seven centuries, and that he had heard messages from places not on this planet. Into the lands of civilisation came Nyarlathotep, swarthy, slender, and sinister, always buying strange instruments of glass and metal and combining them into instruments yet stranger. He spoke much of the sciences of electricity and psychology and gave exhibitions of power which sent his spectators away speechless, yet which swelled his fame to exceeding magnitude. Men advised one another to see Nyarlathotep, and shuddered. And where Nyarlathotep went, rest vanished, for the small hours were rent with the screams of nightmare." (read all of H.P. Lovecraft's Nyarlathotep)
"Presently I heard a swishing in the sparse grass toward the left, and saw the dark forms of two men looming up in the moonlight. They had the regulation caps of a railway company, and I could not doubt but that they were conductor and motorman. Then one of them sniffed with singular sharpness, and raised his face to howl to the moon. The other dropped on all fours to run toward the car...the face of the motorman was a mere white cone tapering to one blood-red-tentacle...When night came, I still wandered, hoping for awakening. But suddenly I parted the weeds and saw before me the ancient railway car--and to one side a cone-faced thing lifted its head and in the streaming moonlight howled strangely!" (read all of H.P. Lovecraft's The Thing in the Moonlight)
NYARLATHOTEPThe model for Nyarlathotep is the monster/god from the writings of H.P. Lovecraft, who was also known as the "Crawling Chaos" and the "God of a Thousand Faces." The general picture that we draw from Lovecraft's writings is that Nyarly acted as sort of an intermediary, a messenger between the blind insane god Azathoth and the rest of the universe; his job was to act out the wishes of Azathoth. What's unique about Nyarly is that he could and did take a human form; in Ancient Egypt he appeared as a black-skinned man who looked like a Pharaoh, and in New England, he took the form of the researcher Henry Akeley (after taking the real Akeley's brain to Pluto in a metal jar, of course.) Humans could directly interact with Nyarly -- usually with unpleasant results. Another of Nyarly's roles was to teach humankind Things They Should Not Know, usually driving them mad in the process...and as for the "Moon Howler" form, I'm guessing that comes from the story I've quoted in the sidebar. If you want to read more about Nyarly, read the Lovecraft stories Nyarlathotep, The Whisperer in the Dark, and The Thing in the Moonlight.
In Tsumi, Nyarlathotep takes the form of the Great Father, a conglomerate of the fathers of the five main characters. All of them have problems with their fathers that have affected them to the present day. The 'father' is one of the basic archetypes that Jung thought existed in the "collective unconscious," meaning that it was a basic concept that all humans understood.
THE SHADOWSThe Shadows in Persona 2 are directly lifted from Jung. He felt that every person had a set of repressed, negative weaknesses or unpleasant characteristics, similar in some ways to Freud's concept of the unconscious. These negative characteristics (laziness, egotism, etc) could rise to the surface and become dominant in times of psychological stress, or they could be directly faced, understood, and overcome with concerted effort on the part of the person. I suppose the concept could be tangentially related to the idea of the doppelganger. The Shadow also could be represented by a "reversed" Tarot card, in a sense.
In Persona 2 (IS and EP), Shadows look like the original person, just with a lot more pink eyeshadow and some good old fashioned crazy-eyes. The Shadows are manifested due to the conflicting rumors about the Masquerade(s) - the bad guys and your main party have too many similar characteristics.
On the right is Jung's conception of confronting a Shadow in the Collective Unconsciousness. It actually bears some resemblance to the Monad Mandala from Eternal Punishment.