The HUD in Persona 4 Arena can seem a bit cluttered in the midst of the intense action, and certain parts can be hard to distinguish from the chaos during battle.
Basically, you will have four different Gauges to keep an eye on. The first, and most important, of these gauges is of course the Health Gauge. This will be the largest of the gauges, and the topmost located. The Health Gauge begins a healthy yellow, and slowly deteriorates to orange and eventually red as you gradually lose your health points from enemy attacks. Blocking enemy Skills and using Furious Actions will drain a portion of the Health Gauge temporarily; the drained portion will turn blue, and will eventually regenerate as long as you manage to avoid taking damage. Take a few hits too many, though, and the blue section of the Gauge will convert to permanent damage.
The SP Gauge is next, and is also very important. You can find this Gauge at the very bottom of the screen. It will be split into multiple sections, and labeled with a number between one and one hundred. SP Skills will drain from this pool, lowering the number. When you expend 25 of your SP on these moves, one section of the meter will be completely drained. The SP Gauge will extend to 150 total SP when you are in an Awakened state. The Awakened state occurs when your health drops below a certain point, usually around a quarter of its maximum state.
The BURST Gauge can be found directly beneath and to the left of your Health Gauge. It will look like a capital B at first, and it will slowly fill with pink as you fight. When the meter is full, it will shift from a B to a flashing "BURST," indicating that it is ready to be used. During certain attack sequences, you will not have access to your BURST Gauge. This will be marked on the HUD by a large pink "X" over the word BURST.
The Persona Gauge is under your Health Gauge and to the right. It will look like four tiny cards arrayed under your health. Every time your Persona takes a hit as you call it into battle, you will lose one of these cards. After all four cards are gone, you will have officially lost access to your Persona, temporarily at least. The Gauge will begin to regenerate slowly at this point. When it's all full again, you can call in your Persona to battle once more; just make sure that it's not too late by this point.