A couple games in the series have had struggles with the difficulty just being unfair though, like Nocturne. (Seriously, my first too random encounters in the game killed me before I even had a chance to take a freakin' action). Persona 3 definatly had it's moments were the you would just get killed for no good reason, though for the most part that game was fine.
I find Devil Survivor 2 and Persona 4 to be the hardest entries in the series that are the best about not just straight up murdering you through unfair means.