Back when it was still a print publication, Cracked often played with the trope in its annual "summer movie" spoofs; they'd depict characters from one movie taking a break from the plot they were supposed to be forwarding to go to a theater and watch some of the other movies from that summer's lineup, as if they were as "real" as the readers were but the characters in the other movies were fictional. Their Batman Forever parody had Batman, Robin, and various villains going to see other 1995 summer blockbusters, with The Penguin storming out of a Pocahontas parody because he was offended by a scene showing Pocahontas and John Smith eating turkey (because he's a "bird-man," of course). Their 1999 parody of Adam Sandler's hit Big Daddy (or, rather, Big Duddy) started out as a straightforward parody of that movie's plot but then had "Sony" take the orphaned boy to see Inspector Gadget and Mystery Men (or, rather, Inspector Gagit and Misery Men). While watching the Mystery Men spoof, he is inspired to resolve the plot of the main story (social services wanting to take away the boy) by adopting the superhero persona of "Lawyer Man" (complete with a mask and cape), who uses his "super lawyer powers to clog up the courts with meaningless petitions and motions for the next ten years."
MAD also did these kinds of gags, such as in their 1982 parody Awful Annie, when "Daddy Morebucks" takes Annie to the movies. True, this was a direct reference to a scene in the actual movie being parodied, but here the characters constantly call attentionto the fact that they are fictional. ("We'll go from this movie to another movie!" declares Morebucks.)