"Princess! No need to worry. I hope you haven't forgotten my role in this little story. I'm the leading man. You know what they say about the leading man - he never dies."
Almost all the characters in the Disgaea series, particularly Etna. Mao from the third game is dangerously so, concluding that the quickest method of kicking his dad off the throne and rule with his own iron fist is to actually become the hero of the game.
One example from Disgaea 2 that particularly stands out: Etna figured out that the Overlord Zenon she just defeated was a fake. How? The title of Overlord is transferred by Klingon Promotion, and she points out that her title on her status screen doesn't read "Overlord".
Also from Disgaea 3, after you have defeated Super-Hero Aurum he says "Wait! In these games the final boss always has to take his final form before you can truly defeat him!", to which Mao replies "Ah! Curse you, using that convenient Game Mechanic!"
Henry of No More Heroes is made of this trope. He correctly identifies himself as main character Travis' mysterious foil and just goes on from there.
Travis picks up some of it once No More Heroes 2: Desperate Struggle starts, but the king of the trope is the final boss. When Travis can't figure out his motives, the boss snaps, pointing out that You Killed My Father is a staple of every genre known to man —> "Shakespeare, for God's sake!"
"I can't get over how fast they all are! It's not even fair, I'm calling zombie bullshit on that, you know? They're not... allowed to be so fast!"
Unfortunately she's also Wrong Genre Savvy in the comic The Sacrifice she finds out that Her father was actually a carrier so when she shot him in a mercy killing after he was bitten, it was a Senseless Sacrifice.
Monkey Island: Guybrush Threepwood occasionally points out a trope during his adventures and tries to take advantage (generally by refusing to do something stupid).
In Brütal Legend, Eddie shows a degree of genre savvy right off the bat when he sees a Twisted Coil Battle Nun from behind. "All right. I'm supposed to think you're a nun, but I know you're really some big ugly demon, so let's have it! (she turns and roars in his face) HAH! I knew it! Big, ugly demon."
Eddie is definitely among the best examples of this trope in any video game story, quite fittingly as he is sort of Trapped in TV Land, except it's Heavy Metal Land and he likes it there far better than his original world.
Eddie's whole personality through most of the game is built around this trope, since he interacts with all the other characters acting as if his supposed inside knowledge of the world is enough of an advantage for him to overcome anything. He turns out to be correct... most of the time.
In Dragon Age: Inquisition, Varric repeatedly demonstrates in dialogue that he has a keen understanding of how stories work and lampshades a number of different parts of the game through this.
If you side with the mages and confront Alexius, at one point Alexius' son asks Alexius if he knows what he sounds like. Cue Dorian: "he sounds exactly like the sort of villainous cliche everyone expects us to be."
In Zettai Hero Project, pretty much everyone is aware of what cliches to keep track of, apparently because Henshin Hero shows are based on real life for them. But their Crowning Moment of Awesome comes when Darkdeath Evilman unleashes a series of energy blasts that land in countless cities across the world, causing mass destruction. Each and every one of those locations was evacuated, because they were all the buildings and landmarks that are always destroyed in movies. There were no casualties at all.
In Saints Row: The Third, The Saints often Lampshade and discuss tropes such as help arriving after two waves of SWAT teams and mentioning how they think Loren wouldn't be so cliche as to hide on the top floor of the tallest building of the city "like a criminal mastermind".