Marvel Comics has a handful of heroes that break the fourth wall. Fictional characters have been breaking the fourth wall for centuries; in fact, the whole reason it's called such is because of the theatre. A play takes place on a stage surrounded by three walls, with a fourth, imaginary wall separating the characters from the audience. Despite its theatrical origins, the practice of breaking the fourth wall is very popular in comic books, which begs the question: just how many of Marvel’s characters actually know they’re in a comic book?
He wasn’t the first to do it, but Deadpool is easily most popular fourth-wall breaker in all of Marvel Comics - and probably every other universe, too. While other characters would make passing comments or asides directed at the reader, Deadpool’s meta-awareness is a core component of his character. The Merc with a Mouth is constantly addressing the audience, poking fun at the writers, and even taking shots at Ryan Reynolds, the actor who plays him in the movies. Other characters usually chalk Deadpool’s comments up to him being crazy or just dismiss them entirely, but in Deadpool Kills The Marvel Universe, Professor X makes the grave mistake of reading Wade’s mind. In doing so, Xavier sees that his entire universe is fictional - a realization that completely fries his own mind, leaving him brain-dead. It seems not everyone can handle the truth that lies beyond the fourth wall, but there are some who can.
While the Hulk himself has never smashed through the fourth wall, two of his closest allies have. Rick Jones has been Bruce Banner's best buddy since The Incredible Hulk #1, but he’s also teamed up with some other popular superheroes. In Captain Marvel #25, it’s revealed that Rick has an ability called comics awareness - a play on cosmic awareness - that allows him to see the entity known as Eulogy, who stands in for the writers themselves and informs Rick that the series was canceled. Meanwhile, Banner’s cousin She-Hulk has a meta, fourth-wall-breaking moment of her own in The Sensational She-Hulk #9. In this issue, the Jade Giantess beats the villain Madcap, one of the inspirations for Deadpool, by literally tearing up the page and throwing it in the trash, then asking the artist John Byrne to draw a new scene. She-Hulk didn’t just break the fourth wall here - she downright demolished it.
Since he traded in the title "God of Mischief” for “God of Stories,” it’s fitting that Loki would also have some awareness that he is, in fact, in a story. Indeed, Thor’s conniving brother has let on a few times that he knows his world is fictional, most notably in Deadpool Vol 1 #37. Loki tells Wade, “thou alone knowest the truth of all these matters is — none of this is really happening. There is a man…with a typewriter,” referring to the authors of the issue. While it’s possible Loki was merely playing into Wade’s insanity, his journey to the Prime Universe in the Infinity Wars mini-series also suggests Loki is aware of his world’s true nature.
In addition to the characters mentioned above, Marvel has a few other fourth-wall breakers in its library. Uatu the Watcher, for example, directly addresses the reader at the beginning of each issue in Marvel’s What If? series, and other characters like Gwenpool and Howard the Duck often break the fourth wall for comedic effect. There may even be others out there, but for the most part, that’s just about every character who knows they’re in a Marvel Comic.