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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!

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

The Fourth Wall 

The fourth wall is the imaginary "wall" at the front of the stage in a traditional three-walled box set in a proscenium theatre, through which the audience sees the action in the world of the play.
The idea of the fourth wall was made explicit by philosopher and critic Denis Diderot and spread in 19th-century theatre with the advent of theatrical realism, which extended the idea to the imaginary boundary between any fictional work and its audience.

Speaking directly to or otherwise acknowledging the audience through a camera in a film or television program, or through this imaginary wall in a play, is referred to as "breaking the fourth wall" and is considered a technique of metafiction, as it penetrates the boundaries normally set up by works of fiction. This can also occur in literature and video games when a character acknowledges the reader or player.
Deadpool breaks the fourth wall many times in his new video game. One example includes:

Wolverine: What were you doing over there?
Deadpool: Just a little surprise for our player!
The Fourth Wall by DropTheB8ss February 13, 2014

Fourth Wall 

The thin line that exists between a story and reality. When a character in a story tells the reader in some way that they know that they are a character in a story, that is called 'breaking the fourth wall'.
Character 1: The author is a jackass who can't write me properly.
Crashing noise
Character 2: Well, there goes the fourth wall.
Fourth Wall by Kyo Kusanagi July 7, 2003

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!

fourth wall 

In theatre, the side or sides of the set facing the audience that have no physical reality. The audience and actors aknowledge this deliniation as a convention of theatre, unless the director chooses to "break" the fourth wall.
fourth wall by Andrew January 19, 2005