The fourth wall refers to the invisible wall between play performers and the audience. Shakespearean plays were notorious for breaking the fourth wall. To break the fourth wall means to address the audience, to sort of wink at them and say, "Yes we know you're watching a play." Sorry if this is all a bit pedantic, but I'm sure you can see where this is headed.
Video games do this frequently dropping lines in that make reference to the fact that you're playing a video game. Some famous ones are Metal Gear (TURN THE CONSOLE OFF NOW! MISSION FAILURE!/when your "mind" gets read (aka your memory card)), Monkey Island frequently made inside jokes with the player, and if I remember, the Paper Mario series frequently makes light of the fact that it's a video game. Oh, Retro City Rampage and that mexican wrestler game that I can't think of the name of...almost are entirely based on breaking the fourth wall.
So what are some of your favorite examples of breaking the fourth wall?