How about MASH*? Every so often through the movie, there’s an announcement over the camp PA system, saying, among other things, what the movie will be that night in the mess tent. At the end of the movie, the PA comes on again, to say “Tonight’s movie has been MASH*, starring…” and starting the credits. At least, so I remember… It’s been a long time since I’ve seen it.
I’ve got more:
There’s a Body Count scene wiith pinball like sound effects in Hot Shots Part Deux that takes place with Charlie Sheen and a .50 cal machine gun.
In Student Bodies, the action cuts away to one of the actors (or maybe the director) talking to the censors for the PG saying "F$%K You! Then the rating is switched to R. Come to think of it, it also had a body count.
Dignified-looking man in sitting at a desk in a fancy office. He remarks on the fact that “R” rated movies make the most money. Then he explains that in order to get an “R” rating there has to be frontal nudity, explicit violence, or certain dirty words. Because this movie has noe of these things, the producers have hired him to come on at this point and ays “Fuck you.”
That’s his only appearance.
In The Muppet Movie, when Kermit and Fozzie first meet up with Dr. Teeth and the Electric Mayhem, they bring the rockers up to speed on the plot by hauling out a copy of the script. Fozzie hands Dr. Teeth the script, and says, “Start here, on page, uhhh, one.”
Speaking of the Muppets, in one of the Muppet movies there is a scene with Diana Rigg speaking to (I think) Miss Piggy. Diana Rigg has just finished a long speech and Miss Piggy asks “Why are you telling us this?” Rigg responds “Oh, this is just character development and plot exposition; it has to go somewhere.”
That was The Great Muppet Caper, one of several fourth-wall-busting scenes.
Notable others: Kermit and Piggy arguing in the park about Piggy’s overacting (Piggy: I’m TRYING to save this picture! Kermit: Oh, yeah? Why don’t you start by trying to save your part?);
Piggy reacting to her betrayal by Charles Grodin’s character (Piggy: You’re such a jerk! And you were lip-synching your song!);
In a daring prison escape, Piggy has commandeered Peter Ustinov’s lorry, by throwing Ustinov into a gang of rubbish bins at the side of the road. The lid pops off one of the bins, and Oscar the Grouch sticks his head out and stares at Ustinov (Ustinov: What are you doing here? Oscar: A very short cameo. Ustinov: [very morose] Me, too.).
My favorite one of all-time: Animal House. When Bluto realizes that his peeping-tom-on-the-ladder efforts are going to pay off.
The British show A Bit of Fry and Laurie (“starring bits of Stephen Fry and bits of Hugh Laurie”) basically demolishes the fourth wall at every opportunity, sometimes literally. The actors often stop midsketch and argue about the delivery of lines or whether they are even the correct lines. They may address the audience directly and solicit opinions from them. Sometimes camera operators, costume designers, or other crew are deliberately included in the scene.
Hellzapoppin from 1941 is full of this. The movie starts in hell. When Olsen and Johnson arrive in a cab, Johnson blows on it and makes it explode. Olsen then tells the projectionist (Shemp Howard) to rewind the film. Shemp say that he can’t be talking to him and to the audience, and Olsen says “I am, aren’t I?” Shemp then rewinds the movie, and everone goes backward.
Then they walk off the set, and through about five other sets, with costume changes as they move. (Blazing Saddles wasn’t the first to do this.) They wind up with the director and the scriptwriter. Olsen and Johnson say they want the movie to be just like their Broadway show, but the director tells them that Hollywood changes everything. They then sit down and start watching the movie, doing the lines, until they show up in the movie, which is when we get into the story.
It’s what Tristram Shandy should have been.
Annie Hall - Woody Allen thinks the noisy pretentious snob queuing behind him is full of BS. Woody walks over to the far side of the room, picks out a guy who turns out to be the author the pretentious guy was talking about and the author says to him that his arguments are all wrong. Woody looks to the camera and says something like, “Isn’t it great if real life were like this?”
There is also an “intermission” when the film we (and an audience of Muppets) are watching breaks. The Swedish Chef, who is manning the projector, repairs the film, announcing that “der flim [sic] is okey-dokey” – still a catch phrase in the KellyMap household.
I love that – “flim”. It’s the only Swedish word I know 
When it first breaks, doesn’t he say, “Der flim it goes der floop der floop”?
Tom Jones did it subtlety. Blazing Saddles not so much.
The Producers (2005) does the same thing. So stay all the way through the credits.
**Invasion of the Body Snatchers ** (the original) – at the end.
**Monty Python & the Holy Grail ** – the “Book of the Film,” the historian interview, the arrests at the end…
**Man on the Moon ** – the fake intro, followed by Jim Carey (as Andy Kaufman)'s apology to us in the audience.
**The Kentucky Fried Movie ** – the skit in which a couple is making love in bed with their TV showing the late-night local news broadcast; the studio people can see the couple in bed. This is thus a skit about the breaking of the fourth wall that in itself doesn’t [IIRC] break the fourth wall with respect to the movie’s audience.
The Twilight Zone [the original Serling series] ep. “To Serve Man” – Lloyd Bochner addresses us at the very end, asking us who’s going to be served next for dinner.
Another borrowing from Hellzapoppin. In the middle of the movie, Shemp, who has a woman in the projection room with him, has a fight with her because he is paying too much attention to running the movie. Film reels get messed up, and our heros wind up in the middle of a Western. After things get sorted out. an Indian from the Western and his horse wander through the Long Island estate where the film is set, somewhat lost.
They also have to keep reminding the camera to follow them, not linger on the girls around the pool.
My favorite exchange from that interlude is from Statler and Waldorf:
Statler: What do you think of the film so far?
Waldorf: I’ve seen detergents that leave a better film than this.
The Sex and the City TV series had Carrie speaking directly to the viewer in the first half of season one. It was then abandoned permanently. For the better, I’d say.
Several of the characters interact with the narrator. Remember the “awwww” vs “awe” part? Cracked me right the hell up.
When Gorge is trying on a suit, admiring himself in the mirror, the narrator says, “It turned out that George looked good in Armani.”
George turns to the camera snd says, “Pretty *darn * good.”
Not the same thing, of course, but in Apoloclypse Now there is a scene of Francis Ford Coppola as a doumentray/news crew filming Robert Duvall, et al.