Older than Dirt: The titular protagonist of The Epic of Gilgamesh notably rejected the goddess Ishtar's advances because he knows how mortals sleeping with gods and goddesses always leads to tragedy. To make his point, he recites a list of the myriad tragic fates of Ishtar's lovers in other myths. Not that scorning a goddess doesn't lead to tragedy anyway — it was a lose-lose situation. You'd think if he was really Genre-Savvy, he'd know that part too and decide that as long as he's screwed either way...
In Book Nine of The Iliad, the Greek hero Diomedes doesn't believe Achilles' threats to sail home from Troy because he is fated to die there. He turns out to be right.
Sir Dinadan, the jokester knight of Arthurian Legend. He agrees to enter a tournament after Lancelot promised not to participate. Lancelot is visibly still in the audience, when a woman enters the tournament. Dinadan: "Oh Crap, that's probably Lancelot in drag." In defiance of all logic, but in strict accordance with Rule of Funny, he's right.
