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When I play persona 4 using pcsx2 r1888 it runs pretty well, but I've noticed the shadows are weird and tend to move all over the place. If I move my character the shadows will move too. Using my xbox controller I've noticed my character will decide to walk/run on his own, if hes running he may suddenly stop to walk and vice versa.

For Persona games I recommend you use the latest PCSX2 beta and enable the special fix in "config > gamefixes" for it. Then use a GSdx revision no higher than r1406 as newer ones may cause some problems.

http://pcsx2.dyndns.org/index.php?n=GSdx

It would help if you show us your pcsx2 settings and what the problem looks like.