"The fourth wall" is an expression stemming from the world of theater. In most modern theater design, a room will consist of three physical walls, as well as a an imaginary fourth that serves to separate the world of the characters from that of the audience.
In fiction, "breaking the fourth wall" often means having a character become aware of their fictional nature. This can range from your character advising you to "Press X" in a tutorial all the way to Psycho Mantis reading your memory card and mentioning the other games you've been playing. However, the most direct violation of the fourth wall would be a character openly acknowledging they are in a video game or even directly speaking to you, the player, instead of to your character.
(Jak 3:)
Monk: This isn't a game!
-Jak and Daxter look toward the player with confused expressions-
(Dragon Age 2:)
Ghyslain (when a quest from him is available:) Does no one see this exclamation mark above my head?
Your first piss in the pub, usually after 2 hours of drinking. After breaking the seal of your bladder, repeat visits to the toilet will be required every 10 or 15 minutes for the rest of the night.
The erection that a person gets while watching Breaking Bad. It generally happens about mid episode and climaxes by the end. It affects men and women equally and cannot be stopped.
Dave: "Did you watch the new episode of Breaking Bad last night?!'