The Fourth Wall refers to the imaginary wall between characters in a work of fiction (such as a video game or a film) and the audience (or in this case, the players or the viewers), preventing the former from knowing they're fictional. When a video game character suggests that he or she knows that he/she's fictional and acknowledge that this is just a game, this is called "breaking the fourth wall". They're found within many video games, usually for comedic relief. The following are notable examples of characters "breaking through the fourth wall".
Nintendo Entertainment System
Metroid - Samus will wave directly to the player in all of the endings.
Super Nintendo Entertainment System
Donkey Kong Country - Cranky Kong frequently references the fact that he was in the Donkey Kong arcade game and how games have changed since then.
Contact - The whole game pretty much breaks through the fourth wall, as they are well aware of your presence.
Drawn to Life - The villagers constantly refer to the player as the Creator and ask you to draw various items & elements.
No More Heroes - Oftentimes the game's protagonist Travis Touchdown will reference the fact that it's a video game and will also mention other video games as well such as the yet-to-be released Duke Nukem Forever.
Super Paper Mario - Many characters in the game regularly call dying getting a 'game over': In the wedding scene, Count Bleck asks Bowser if he will take Princess Peach "Until your games be over." Also Merlon sometimes refers to the controller buttons and when doing so sometimes references the player.
Super Smash Bros. Brawl - During the Subspace Emissary, Solid Snake will say "Kept you waiting, huh?" directly to the player, an obvious reference to the cutscene earlier, where his cardboard box appears slightly moving in one of the cargo rooms on the Halberd, hinting that snake has infiltrated the Halberd.
Metroid Prime 3: Corruption - In the 100% ending of the game, Samus will give a thumbs-up in the direction of the screen from inside her ship. Since her ship's window can only be seen through one way, it is unlikely she was directing it at anyone other than the player.