The Joker can interact with speech and thought bubbles, grabbing hold of or leaning on them. This is most likely part of the idea - also used to partially explain Deadpool - that Joker is so insane that he has become aware of things other characters have not.
There is a theory floating around that the Joker has become so aware of his role in a comic book that the reason he has yet to kill Batman is because he knows that, if the hero of the book dies, the story and everything in it - villain most definitely included - stops existing. Similarly, some have speculated that the reason he can be so casual about the gruesome crimes he commits is because he realizes the people he's hurting aren't real.
In the movie, he talked to himself a few times, serving the same narrative purpose, but preserving the seriousness. On the other hand, he sometimes did so while looking straight-ahead, 'coincidentally' right at the camera, sooo...
In The Dark Knight Trilogy, thanks to a single point-of-view shot, the Joker is the only one in the films to look right into the camera.
In an episode of Young Justice, Joker briefly grinned into the camera and said "Admit it, you can't look away."
While all of the Game Over screens in the Arkham series are variations of the relevant villain taunting you, Origins features one where the Joker asks if he killed your friend. And then apologizes.
The Joker was the only one who remembered the previous DC-cross-Marvel stories by the time of Marvel Versus DC, noting that Spider-Man "seemed to have changed tailors since last (they) tangoed".
Ambush Bug can interact with his writers and editors, walk between pages and panels of his book, and comment on the lives of other characters from an "out of universe" perspective. One time Zatanna tries to cast a spell on him, and he asks why the words in her speech balloons are backwards. She bursts into tears.
At times, especially during the Silver Age, Superman and Supergirl appeared to be aware of the Fourth Wall; Superman's trademark wink was always directed at the reader/audience. It was used for the last time (in the comics), and most depressingly, in Whatever Happened to the Man of Tomorrow??. In Superman #714, the last issue before the 2011 relaunch, the final panel gives a nod to Whatever Happened To The Man Of Tomorrow?.
Supergirl also occasionally winked at the audience -the first time, in Action Comics #260-, or even addressed to the readers. In elseworlds story Superman Vol 1 #192: "Clark Kent's Super-Son!", Clark Kent has lost his powers and forgotten he is Superman. Supergirl and Batman agree to not reveal anything because, well, the story would be over.
Batman: "Psst, Supergirl! We're the only ones here who are aware that Clark Kent is Superman!" Supergirl: "Of course, Batman, but we agreed that we'd never reveal the truth to Clark because... (dramatic pause) because you see, readers, that would ruin this imaginary story! So we're keeping mum and minding our own business! Let the writer and editor solve this super-mess they got Clark into!" Batman: "Check! As Supergirl said, we're sitting this story out!"
Superboy-Prime is from our real world, and has gone so far as to blame DC Comics for ruining his life, because they wrote the comic books where he's become a villain—and his friends and family read them. That's trippy.
In the Shazam! (2018) series, Superboy-Prime returns after a 9-year absence, and he rights away addresses the readers, saying he can't believe they're still reading DC Comics after the 2011 reboot and endless string of subsequent Crisis and events.
Superboy-Prime: "I see you, too. After everything they've done... I can't believe you're all still here."
DC canon being what it is, it's hard to know if it counts now, but at Superman Reborn, Mr. Mxyzptlk turns out to know that he's in a comic book (and many other media. Apparently, all print, animated, and live versions of him are one guy who likes to hop around the multiverse and present himself a little differently in each. Of course, it stops being funny if you consider the versions in which he's a very far cry from the usual harmless trickster.)
As of Batman/Superman #22 (cover date November 2021), Mr. Mxyzptlk is definitely aware that he's in a comic book. He decides to temporarily share his medium awareness with Batman's adversary Calendar Man, calling him the one person who would appreciate it, since he's already obsessed with the idea of dividing time up into little boxes. At the end of the issue, Mxyzptlk addresses the readers directly, saying that he doesn't understand why they keep coming back each month to read stories whose endings they already know, but he appreciates it because he's aware that the demand for new comics is what keeps the universe he inhabits going.
Animal Man becomes aware of his status as a comic book character and discusses this in a conversation with his writer towards the end of Grant Morrison's run on the series.
In an issue of Grant Morrison's run on JLA, Martian Manhunter seeks Animal Man out for some plot related reasons. AM is hiding out in an empty white room spiralling into depression over his 4th wall awareness and when he realizes why J'Onn is there he breaks down in despair and screams "Oh God I'm relevant to the plot!" and just starts sobbing. After J'Onn reads his mind and leave J'Onn thinks to himself that AM has some very odd ideas about how the universe works.
In the Fables spinoff, Jack Of Fables, the title character Jack has been shown to be aware of the audience, both in recaps, and normal panels. This is because he is half-Literal; Literals, are, in essence, "authors" of reality.
Delirium of the Endless from The Sandman seems to be vaguely aware that she is in some kind of story. In chapter five of "Brief Lives" she tells Dream "I did that. What you just did. In the beginning" after Dream makes a strip club bouncer believe something just by telling him. This is a call back to chapter one when she pulled the same trick on a different bouncer. But why would she, a non-ending being who's existed since the dawn of the universe refer to something so recent as "the beginning"? She's talking about the beginning of the story arc.
In Ultra Comics #1, Ultra Comics sees his thought balloons and thinks they make him look dated, so he switches to first person captions.
