No more heroes has broken the 4th wall a few times for a few funny moments, but it wasn't really much more than a small joke. However there was a scene in No More Heroes 2 in which the 4th wall wasn't necessarily broken, but instead, Travis declares to Sylvia and indirectly to the player that he and all the other assassins in the game are truly alive. In fact, he claims that ALL characters, whether they be from a video game, book, anime, and so on, are all living beings.
It was an interesting look into what makes one alive and the brings up the question of free will. Unfortunately, (or perhaps fortunately depending on your viewpoint) the game doesn't really explore this idea very long and jumps right back into the game.
It's in the scene after the fight:
http://www.youtube.com/watch?v=eKd-Ly40C98