Zombies Calling by Faith Erin Hicks is built around the main character being savvy to the "rules" of zombie movies from seeing every zombie movie ever made.
Watchmen: Adrian Veidt, aka Ozymandias, declares that he is not a villain from a Republic Films serial and therefore had already completed his plan 35 minutes before beginning his Breaking Speech.
In The Sandman, Morpheus is possibly one of the most Genre Savvy entities in the whole universe. As the Prince of Stories, he knows that life literally imitates art (and vice versa) and is more than capable of controlling it. While teaming up with John Constantine to enter a house haunted by renegade dreams, Constantine shows some Genre Savvyness himself, recalling what happens to people in horror movies when they split up. He asks Morpheus for reassurance that they'll stick together.
In Uncanny X-Men # 143, Kitty Pryde declares: "If this was a movie, the monster would be waiting right outside the door, ready to bite my head off the moment I show myself."
In Return To Wonderland, Calie is nearly raped by The Hatter, but she gets the upper hand and knocks him out. She declares that she will not repeat the mistake that girls usually make in horror movies (knocking out the bad guy, then leaving the room), and continues the beatdown on Hatter until pretty much all of his bones are broken. It doesn't stop him from coming back. The inhabitants of Wonderland are eternal and eventually reappear every time they die, but Calie didn't know that.
In Ultimate Spider-Man, Bolivar Trask demonstrates this when he asks if the stasis field in the lab he's in can contain Venom. When he's told that it can, he says that he's seen King Kong, and so will be leaving.