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The beginning of the story is different depending on whether you pick the P3 or P4 protagonist, but the labyrinths are the same. Each labyrinth has several floors with a boss at the end. A new labyrinth unlocks when you defeat the boss of the previous labyrinth. While exploring, you can take on requests which are optional side tasks.

You should keep a Goho-M in your inventory so you can quickly return to the school. The game will warn you if you are about to enter a labyrinth without one.

If an equipped Persona is 5 levels or more below a character's level, the character will suffer a damage penalty. It is usually better to acquire stronger Personas either in the labyrinths or through fusions than to level up your existing ones.

FOEs are strong shadows that you may want to initially avoid until you are ready to fight them.