Fourth wall
Sometimes, characters in the Marioverse will state something that implies that they are aware of being fictional characters in a video game; this is known as breaking the Fourth Wall. The Fourth Wall is mostly broken in the Paper Mario series, for comic relief.
In Video Games
Almost all fourth wall breaks happen within the games.
Hotel Mario
Throughout the many cutscenes of the game, Mario and Luigi speak with the player. Also, at the end of the game, the Mario Bros. and Princess Peach wave to the player and congratulate him/her for the completion of the game.
Mario Golf: Toadstool Tour
When Daisy gets a bogey, she will shout "OH! No, no, no, no, no, no, no!! You klutz!" Apparently, it means she is shouting at the player for causing her to get a lousy shot.
Paper Mario: The Thousand-Year Door
Just before Mario begins Chapter 5, Professor Frankly is about to tell them more information the Thousand-Year Door, when he calls for the "person behind the glass" to make sure they're paying good attention. Later during the chapter, Lord Crump (under his alias, "Four Eyes") tells the player that they'd better not tell Mario who he really is.
Super Mario World
Nintendo breaks the Fourth Wall in Funky; A long row of Coins spell out "YOU ARE A SUPER PLAYER!"
Yoshi's Story
Nintendo also breaks the Fourth Wall in Yoshi's Story Each time the player eat an Heart after playing a minigame, a row of Coins forming a letter will appear, if the player put said letters in order, it spell "YOU ARE YOSHI BEST PARTNER!".
Super Paper Mario
In the game, death is actually referred to as "Game Over". Several characters, the first one being Bestovius, refer to a certain button when explaining how to perform a move. When Mario asks what they mean by pressing that certain button, the character assures them not to worry, and that the great being that watches them (the player) will know what it means.
More specifically, Bowser shouts to Mario, "No more sequels!" and that he will finish him off. Lastly, during Chapter 3, the last option for Princess Peach to choose on the Swoon.exe will result in her to outburst in anger and demand to know who is picking these answers for her.
Other
"Do the Koopa"
When Mario and the gang see the large fire pit they must cross, Luigi takes note of the Dark Land music in the background and nervously shouts "Stop the music!", to which it does. Luigi tells Mario that they can't cross that pit, but Toad sees some ? Blocks that can help them. Mario calls out for the music to start up, and new, brave background music plays.
