Yeah, the OP is definately confusing fourth wall with immersion, which are practically polar opposites, but I'll do both.
MGS2 continued the tradition of breaking the 4th wall when you're fighting alongside Snake and the game just goes Skitzo on you. Actually caught me unawares the first time.
As for immersion, my buddy was playing Silent Hill back in the day. Something flashes by the window and he asks, "Did you see that?" I shrug and tell him it was probably just one of those blips in games, just as the thing crashes through the window. I still dunno what it was, since I was securely hiding behind the couch and he was frantically trying to regain possession of the controller from where ever it had flown.