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Breaking the Fourth Wall 

"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?

(Other:)

Man: Have you ever wondered why everything we do is controlled by-

Dog: Stop! Breaking the fourth wall is a bad idea!
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Breaking the fourth wall 

"The fourth wall" is the wall that separates fictional worlds from reality, so breaking the fourth wall is basically saying that you know that there's another universe outside of the fictional one.
Deadpool does this alot
Deadpool: "A message to all the kids out there, cover your eyes if ya don't wanna be scarred for life, eh?" (shoots someone)
Me: Quit breaking the fourth wall, dude

Breaking the Fourth Wall 

Whenever characters in movies/video games/cartoons/other interact with the audience in some way
Guy watching movie: this character sucks
character in movie: *Looks at the guy* No i dont!
Guy watching movie: the f***? thats breaking the fourth wall!
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