Deadpool

Some characters have been known to 'break the fourth wall' by speaking to or about the audience. Not only do they talk to the reader, but they (usually) know that they are fictional creations in a story. Deadpool, the most well known example of this phenomenon, has been known to refer to his own history in issue format, lean on the panel borders, and see or touch his thought boxes and word balloons.

The fourth wall can also be reinforced by a character saying that, i.e., 'this isn't a movie, you know'.

Characters

Here are some characters that have broken the Fourth Wall:

Alex Luthor
Ambush Bug
Animal Man
AO Major
Bat-Mite
Canis
Cerebus
Deadpool
Demon
Gabreality
Grifter
The Intern
Jamie Braddock
John Lynch
Lobo
Loki
Mr. Mxyzptlk
Phantom Stranger
She-Hulk
Squirrel Girl
Starman
T-Ray
The Killer
The Writer
Uatu the Watcher
Zatanna

(Note: Characters may have broken the 4th wall at one point in time, but that doesn't necessarily mean that they currently retain the knowledge of the world beyond the comic they are in.)

Recap Pages

Some comics have recap pages before the actual story in which characters from that issue (or sometimes the previous one) show up and talk to the reader, breaking the Fourth Wall. These instances are generally isolated and after the recap page, the characters no longer have the ability to break the Fourth Wall. For examples of this, check out the Cable/Deadpool and Irredeemable Antman series.