Atlus USA mentioned on their forums that Persona 4: Arena will be region locked for both Xbox 360 and PlayStation 3. While many Xbox 360 games (usually those from Japan) are region locked, PS3 titles are almost always region free.
Persona 4: Arena will have a near simultaneous launch in North America and Japan with just a week between regions. Japan gets the game on July 26 and it’s slated for August 7 in North America. Zen United will release Persona 4: Arena in Europe sometime in 2012.
Even though the game is region locked, you’ll be able to fight against pals in PAL territories or challenge players in the Land of the Rising Sun. A representative from Atlus USA confirmed to Siliconera that the servers are global so US players won’t be on a separate server like Demon’s Souls.