Spike Milligan must have been peddling lampshades when he wrote the latter episodes of The Goon Show.
The Jack Benny Program did this quite a few times with knowing winks about the commercials.
Jack Benny: And now a word from our sponsor. Take it, Don. Don Wilson, the show's MC: "Jell-o." Take it, Jack.
Adventures in Odyssey has been around for over twenty years, and it knows it. Just to name one example, the narrator, Chris, ends every episode by giving the show's address and listing the main credits for the episode. The inevitable pokes at this have gone from prefacing it with a "(Ready?)" in "Switch", to having the show's production team hijack it over her protests in "500", which was topped in "Live at the 25" when she led the entire audience in reciting it.
The Hitchhiker's Guide to the Galaxy: The Infinite Improbability Drive. Douglas Adams admitted that, having created a situation where anything that saved the heroes would be a Contrived Coincidence, the only possible solution was to point it out, and then have them rescued with a Nonsensoleum space-drive that created Contrived Coincidences.
