I've never seen any of the Persona animated shows, though what I was hyped the most all along were the Persona 3 movies (they look great). I didn't watch them when they came out because I was waiting for the dub since I was used to the english voices of the characters from the game, and I knew some of them would be coming back to do the voices. I dunno a lot about both the Persona 4 and Persona 4 Golden adaptations, but they seem okay enough, meh, I'd still rather play the games than watch something I know a lot about already, but more persona is always good~ I also know there's a Persona Trinity Soul, or something, which is just a spin-off of sorts and I never heard good things about it, but if you watch it, I'd like to know what you think! The mangas are nice enough.
You should really get the fighting games for more story and just an awesome 2D fighting game with the characters you know and love from both P3 and P4. I still haven't bought P4U, but it should be just as awesome as the first.
If you really love the Persona games, I'd suggest you to check out other Shin Megami Tensei games like Nocturne (Lucifer's Call in Europe I think), the Raidou Kuzonoha games (which have a battle system reminiscent of Tales of games), Digital Devil Saga and a few other older games, though those are the ones on PS2. I absolutely adore the whole SMT franchise including and specially the Persona series, so I guess you will enjoy some of the others as well.