Gremlins 2 did something like this as well.

Winner.

Roger Rabbit is a Kobyashi Maru situation where you're watching a fiction embedded within a fiction, so that when you pan-back and see it's taking place on a soundstage, you're still in the fictional world.

Monty Python and the Holy Grail
Spaceballs (Dark Helmet kills the cameraman)
Tristram Shandy: A Cock and Bull Story
Free Enterprise (which ends with the characters filming the first scene in the movie, which is extra-meta because the characters are based upon the writer and the director)

Bob Hope did it in almost every movie he made. A lot of Looney Tunes do it too.
The best:
The one where Bugs Bunny is hurt and dying and asks the audience:"Is there a doctor in the house? The outline of an audience member blocking the projector says, "I'm a doctor!"
Bugs sits up and says, "What's up, doc?"

Dr. Giggles looks at the camera and asks, "Is there a doctor in the house?"

I just saw the movie for the first time yesterday, but I think Kiss Kiss Bang Bang did a great job breaking the 4th wall

JFK.

When Costner is giving his closing argument at the end and shifts his focus from the jury to the camera ( its subtle, but great) and says: "Its up to you"

I'm going to go with 'Dolemite' where a character literally walks through the fourth wall to come into a scene at the end of the movie.

Is the advertising scene in Wayne's World actually breaking the 4th wall? It's just commercial-like "in" the movie...

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The whole "I dropped my pen/Twilight Zone" part of the movie does it better.

Back...and to the left.

Well, that's one in kind of a different category, as IIRC the narrator addressing the audience is not part of the story, even when he's walking on the battlefield. I believe a similar example is The Rocky Horror Picture Show. It's not so much the fourth wall as it is a different room.

Woody Allen breaks the fourth wall often in movies like Annie Hall and Everything You Always Wanted to Know about Sex.

Another example of walking onto the set is in Run Ronnie Run. They did it on Mr. Show too.

I agree with Funny Games. Haneke turns the audience into an accomplice to murder with a simple glance and smile from the screen.

Yup.

In second place would be the reissued cut of Monty Python and the Holy Grail, during an extended Castle Anthrax scene where one of the women turns to the camera and asks if that scene should have really been cut out from the original version. Then it cuts to various characters yelling at her to "get on with it!"

Best movie that does it the worst: Into The Wild.

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Are you referring to the film "breaking" and Hulk Hogan yelling at the gremlins? Such an underrated movie.

My vote goes for just about anything Robert Downey Jr. does or says in Kiss Kiss Bang Bang, especially Val Kilmer's closing words:

"And to all you good people in the Midwest, sorry we said fuck so much." :D

in emperor's new groove they do it a few times i think.

I liked it in The Simpsons Movie when Homer calls you a sucker. The audience got a big laugh outta that one in the theater...

How has no one said Adaptation yet?

in Wet Hot American Summer near the end there's a scene where Katie is telling Coop that she's gonna stay with Andy (the hilarious Paul Rudd) and for a brief second Coop looks at the audience and i found it hilarious

This just came to mind a few posts before yours. Another great answer.

Its funny, before this topic came out and I was watching the movie. All I could think about in the beginning was, "Wow this movie does a great job talking to the audience, how many other movies do that?"