Nili's Lord of the Rings fanfic A Taste of Disaster shows how genre savvy Legolas, Aragorn, Elrond and company get after Aragorn and Legolas have been through a few action/adventure fics. Hilarity Ensues.
Often present in MS Paint Adventures forums, especially in the Fan Adventures. A sample suggestion, explaining what's going on to a new character, is clearly very genre-savvy.
Mikey: "Then you can be my escort tonight before it's too late! You'll do it, right! It's important! I need it! And you love me, so you'll do it! Right!"
Breech: "I never agree to do anything without knowing what it is first. How do I know you're the real Mikey, and not some Dai-Oni possessing his body with the intent of making me promise to do something awful?"
In the Mass Effectself insert ficMass Vexations, Author Avatar Art goes through pretty much the entire fic noting the events of the game as they go on. He ends up lampshading just about everything he notices, including making an offhand comment about one of the game's Playing With Syringes examples.
Several characters in Total Drama Battlegrounds, though Heather deserves special mention after seeing Rodney die in one of the virtual reality challenges:
Luminosity: Bella realizes that her life is a Romance Novel. Relying on her status as the protagonist may be part of why she makes some risky decisions.
Mike: "Ponies don't start randomly thinking about this kind of thing unless it's about to become some important plot point in a corny story they're in!"
Calvin and Hobbes: The Series has the titular duo, though in different ways: Calvin knows a lot about sci-fi movies, while Hobbes knows the outcome of pretty much any adventure Calvin drags him along on.
One of the hallmarks of being a resident of Angel Grove in Of Love And Bunnies is that, living amongst Power Rangers for so long, they're used to the weirdness and can predict when strange things will happen and what effects they will have.