In Jak 3 when the monk exclaims: "THIS ISN'T A GAME", and then Jak and Daxter bewilderingly stare at the camera.
Portal is classic with this comedy also:
"The enrichment center reminds you that the Weighted Companion Cube will never threaten to stab you and, in fact, cannot speak. In the event that the Weighted Companion Cube does speak, the enrichment center urges you to disregard its advice. If it could talk - and the enrichment center takes this opportunity to remind you that it cannot - it would tell you to go on without it because it would rather die in a fire than become a burden to you."
And in MGS2 when you're in GW and the colonel tells you to unplug your console since you've been playing an awfully long time.