I’m referring to when people refer to TV or film characters interacting with the audience, as breaking the “4th wall”
What is this wall? What are the other 3?
the ones in the tv or the set. the fourth wall is the plane of the tv Screen, or the procenium. Hence it is … basically a Self referencial Reference.
The three walls are the walls of a TV set, which has a missing fourth wall so that the cameras can shoot the scene and the live audience can see the scene.
I believe the four walls are literal-- the fourth wall is the one that stands between the audience and the stage, and the other three walls are the (often physically realized) ones standing on the other three sides of the stage.
It means they’re talking to the camera, i.e. “fourth wall” between the audience and the characters (the latter who are not supposed to be aware that they’re being watched.)
Famous “fourth wall” violations: Ferris Bueller talking to the audience, Bugs Bunny making wisecracks to the screen, Henry Hill (Ray Liotta in Goodfellas) freezing a pivotal court scene to address the audience, George Lazanby (stepping in for Sean Connery as the first replacement in the role of James Bond) saying to the camera (after the girl he rescues drives off and leaves him stranded, holding her slipper) “This never happened to the other fella.”
Some people consider this cheating, like the Unreliable Narrator in mystery stories; other times, or in other situations, it creates a sense of confidentiality, as if the viewer is let in on something that the other characters don’t know.
Stranger
I think that to ask, “What are the other 3?”, misses the point. The fourth wall is illusion, along w/ everything beyond it. If you “break” the fourth wall you destroy the illusion. This isn’t necessarily as obvious as “playing to the audience”, it can also be done by failing to create, or stay in, character, such as a “ham” might do.
Just to state the obvious, ('cause sometimes folks miss things), the presumption is that a room will have four walls, since we tend to build buildings as rectangles, and in most filmed/videoed performances, (particularly before a live audience), three of the walls are visible on the stage or set, while the “fourth wall” is not visible, since it is the place where the camera and audience are located.
Well, sometimes the obvious eludes us (me). 
Just to state more obvious, this concept existed in live theatre before the invention of film or video recording.
Walls 1, 2, and 3 are the ones you can see on the set. The fourth wall is the wall that would block your view if what was happening on stage were real
A pretense of much dramatic fiction is that what is happening on stage is to be considered by the audience as if real. Thus, you must suspend disbelief. Breaking the fourth wall means dropping the pretense (for a moment, perhaps) that what is happening on stage is real and not a performance.
And to add one more insight, in a play or television show, the actors generally do not pay attention to the ‘fourth wall’ or notice that it is not there, that people are watching them from that direction, as part of the dramatic pretense that ascenray mentioned.
If a character suddenly starts talking to the audience, usually they are looking and projecting their voice through the space where that theoretical fourth wall would be. (Of course, most of the time they’re looking in the direction of the fourth wall anyway, just so the audience can see their faces, but they pretend that they don’t see anything interesting there.)