He can see the yellow text boxes that indicate scene transitions ("Meanwhile, in Manhattan...") or that act as substitute thought bubbles. This is connected to the fact that for Deadpool, there is No Fourth Wall. Indeed, the Deadpool comics became so famous for this that the dual sublines for the comic were "The Merc with a Mouth" and "Breaking down the fourth wall one brick at a time!"
Earlier Deadpool books toyed with this; he didn't actually have any proof that he was in a comic book (because, let's face it, he can't perceive the reader no matter how much he tries to look outside the page) but kept up the act anyway because he believed it was true (and it was funny). This detail has since been dropped for simplicity.
At one point, numerous characters tell him he is saying aloud everything that was in the yellow boxes, which leads him to suspect his "internal monologue" is broken. No one listens or responds to what he says, because he is known to be completely insane.
This gag has extended to other media including Deadpool: in Marvel vs. Capcom 3, he can beat his opponent around the head with his own life bar, and his movie continues the tradition.
Gwendolyn Poole, aka The Unbelievable Gwenpool, is a Marvel fan who originally hails from our reality and is aware she's now in a comic book. She constantly makes note of standard comic book tropes and conventions and even when she briefly returns to the "real" world, she can still tell she's in a comic book because she slowly awakens as a Reality Warper, being able to see her own dialogue boxes and interact with panel borders. Her younger brother Teddy is also aware that they reside in a comic book universe, but his lack of comics knowledge means he's never able to make use of it and would rather return to the real world. As a side note, she actually isn't a fan of the above Deadpool's comics.
The Sensational She-Hulk is famous for its characters' acknowledgement of the comic medium, including climbing across panel borders, referencing captions, and other related awareness.
When she gained her sidekick Weezi, Shulkie asked how Weezi was able to walk between comic panels, only to be told that it's similar to the way She-Hulk is able to talk to the reader.
It's also because Weezi is an ex-comic heroine herself (from Marvel's predecessor in the 1940s), who used the same schtick in her series. Weezi is so Genre Savvy that she was aware that she and her (late) husband began aging in "real time" because they were no longer appearing regularly in published stories, and thus deliberately insinuated herself into Shulkie's life (and then-new series).
In one issue, the book's editor, Renee, kidnapped John Byrne and locked him Bound and Gagged in a closet so she and She-Hulk could find a new writer for the book. The issue ended with She-Hulk accidentally killing Byrne.
Parodied in an issue of Damage Control, which made She-Hulk look like a lunatic who thinks she's a comic book character. Then again, she directly responded to the text captions pointing this out, so... Does that make it a subverted parody?
And in Marvel's short-lived Heroes for Hire series, Shulkie regularly got into arguments with the third-person narrator... until she fired him.
A throw-away villain in a Spider-Man story arc during the Brand New Day storyline (Amazing 557) featured a rather bizarre manifestation of this trope, including the ability to attack our hero through between panels, declaring itself to be 'beyond time.' Holding his scythe to one side would rip through the panel and jab at Spidey's head on the previous page.
Like everything regarding her, Squirrel Girl is a goofy example of this trope. While she never breaks the fourth wall during the issues themselves, she does it during the first pages of every issue she's starred in. Now that isn't that unique since lots of characters break the fourth wall during the recap pages, but she justifies it by stating that she is only allowed to break the fourth wall during the recap pages. Some of her first pages breaking the fourth wall issues has direct importance towards the plot of said issue. And to make all this even more confusing, her pets Monkey Joe and Tippy-Toe don't know the meaning of The Fourth Wall.
Marvel Universe villainess called The Goddess once gained cosmic power in The Infinity Crusade. One of the realities she planned to destroy was the real world, presented as a person reading one of the 'Crusade' issues. Later, the 'real' world is seen bursting into flames but it proves only to be a telepathic illusion.
In the 100th issue of Marvel Comics What If?? (subtitled "Greatest Secret Of The Marvel Universe Revealed"),the first story titled Paper Skin shows that realities Gambit is tasked by Mr.Sinister to recover artifacts that will grant Sinister significant power. Rogue ends up discovering what Gambit and Mr.Sinister have been hiding, and in the end is shown sitting in a pile of X-Men comic books, which Mr.Sinister had been collecting to gain outside knowledge of the events within the X-characters world and lives.
In the second story if the issue as well titled "There's No Place Where You Sleep And Keep All Of Your Stuff aka Earth-Fantastic Voyage", though not quite as straight to the throat as the previous, we find Sue Storm in a parody world of both the F4 comic itself and The Wizard of Oz, and as this world's variant of the Watcher is instructing Sue to follow the "yellowish" road, he insists she hurry as the story is only ten pages long.
The Purple Man is a dark example of this in Alias, a psychopath with mind-control powers who is fully aware that he's in a comic book. Nobody takes these statements seriously due to his insanity, though. Jessica Jones is simply shown to be baffled when he tries to explain to her that she lives in a comic book.
The Mighty Thor's Loki knows he is (in) a story, he repeatedly told this to people. The only reason he doesn't break the fourth wall more often seems to be because that's not the kind of story he is. When he wants he can pull stunts like reaching out and giving the reader a flyer (Young Avengers introductory one-shot, it's a teammates and readers wanted ad).
