Most every JRPG in existence has a "real" villain after the initial instigator is defeated, and Persona 4 runs with that in a way that screws with the player's expectations.
Mitsuo is the obvious fake. The game never pretends for a significant amount of time that Mitsuo could actually be the killer, with the characters only deciding that he is because of some circumstantial evidence. Despite Rise declaring that everything will be over once they beat Shadow Mitsuo, it's clear to anyone with a remote interest in RPGs that it's note the case. Mitsuo doesn't have an original theme, you're only about level 40; with a single demon whose about to learn a high-tier spell, and if you watched the game's opening then you know that Naoto is going to join the party. So you beat him and the game goes on.
Namatame is another fake, but in a different way than Mitsuo. We already found a false villain, so there's a small expectation that Namatame could actually be the real culprit. Unlike Mitsuo the game takes a hard turn for the serious with the protagonist's arrest, Nanako's kidnapping, and one of the more melancholy dungeons in the game: Heaven. More significantly, Namatame's fight is unique compared No Shadow Namatame with "I'll Face Myself" playing in the background, he becomes Kunino-Sagiri, this giant muppet jesus thing in a huge anime cutscene, and he has his own theme. He feels fundamentally different from the other boss fights, and by this point, you're powerful, but not quite Final Boss levels. Naoto has just joined and you maybe haven't started her Social Link, Teddie's Social Link, one of the only automatic ones in the game, still isn't over, and your other party members still have to evolve theirs.
Of course, the game isn't over yet. You rescue Nanako (who can be in the hospital for weeks if you rescue her as soon as you can) and things move on until Nanako dies and you confront Namatame in his room, and this is the point where it becomes blatantly obvious that he's not the true villain. The game very loosely dangles Nanako's death and your revenge in front of you, having Yosuke and Kanji encourage you to kill him, and you have to navigate a specific dialogue tree to spare him and continue on. The game actively rewards you for not killing Namatame, and very obviously punishes you with a bad ending if you do. So you keep going because you have to find the real killer.
Then we move on to the true culprit: Adachi, who's very obviously designed in a way that screams "real villain". He's significant in a way that Mitsuo and Namatame never are, because Adachi's been around since the beginning of the game, and he's consistently been a friendly goofball. When you catch him he starts using odd facial art and makes huge, villainous rants. So we chase after him, the state of the town in apocalyptic endgame mode like every JRPG in existence.
The actual fight with Adachi is another example of this. The first phase has Namatame's music playing, as if to emphasize that Namatame was never the villain and Adachi was truly behind it all, then most important of all, another divine entity pops out, claiming to be the mastermind behind everything. It possesses Adachi, rants about the evils of humanity, and turns into another giant monster with his own unique, climactic music theme. The way Ameno-Sagiri talks (there's that differentiation between the Shadows and the God bosses again) is practically lifted verbatim from every other time this happens. Right now, Persona 4 is doing everything in its power to convince you that Ameno-Sagiri is the final boss. The culprit's behind bars, the team has a nice celebration, you even get to skip to a Christmas date. The only hint the game gives you is the completion of the Judgement arcana after you win.
Once you beat Adachi, the story feels like it's over. You don't have the chance to run around town finishing up Social Links; the game just jumps you from December to April, unlike Mitsuo and Namatame's defeat where you continued as normal. This is when the game really starts messing with you. Persona 4's epilogue is structured the same way as Persona 3's last few days. You walk around town, reminiscing with your party members and Social Links, and the game keeps trying to get you to go home and even gives you a bright, happy ending if you leave now. You have to actively force your way through the game's prompts for you to return home and roll the credits. You have to decide that there's a few more questions to be answered, and push yourself through the ending the game's trying to give you, whereupon you finally meet the true mastermind: Izanami.
The genius of this repetition of the same plot twist is that by Adachi, you're left with the expectation that this really is the end. After two fake outs, Adachi is built up in a way that is specifically constructed to make you think he's the real culprit, and he is. But since Persona 4 was a game entirely about finding the murderer, you never think of anything beyond that. Ameno-Sagiri shows up, spouts generic garbage, and since you're so used to final bosses saying that, you just kind of passively accept it.