What we call the “4th Wall” is the imaginary space between the story, and the ones experiencing it. When the gap between screen and audience is bridged, this is "breaking the fourth wall". There are times when either a character will look through the wall and address the audience directly, or acknowledge the medium that they are in.
Some incredible examples of breaking the 4th wall in video games can be seen in Metal Gear Solid, from the Psycho Mantis fight where he laments the player changing controllers, to checking the back of the game’s CD case to find Meryl's secret codec. In this case, it is a way of poking fun, or letting the audience in on a secret in a brilliantly interactive way, but there are several instances in video games where breaking the fourth wall it can be unsettling, and even terrifying.
Not even the glass of your screen is strong enough to protect you from these video game characters, because they can see right through it.