Personas - the demons you summon. They are divided into families named after tarot Arcana (Chariot/Fool/Lovers/etc)
Confidants - allies in and out of the playable party who are linked to different Arcana, just like the demons. Spending time with them in the real world will increase the strength of the bond you share, which provides special perks including bonus experience when creating personas of that Arcana in the Velvet Room.
Each of the main character's personas have their own levels that determine stats and skills.
The main character himself has levels that determine HP, MP, and the maximum level of persona he can summon(determined by base level, before Confidant bonuses).
Your allies' levels are combined with their personas' - every level up increases all of the above, minus the summoning cap.