The Fourth Wall is commonly the only thing separating you, the reader, from me, the text.
That's right. I know you're there!
Without the Fourth Wall, characters would notice you watching them, there might even be references to the medium they exist in, and there would be reader-character interaction.
Most of the time though, the Fourth Wall is maintained, until it is broken. This is, naturally enough, referred to as Breaking the Fourth Wall.
Breaking the Fourth Wall is common in comedy fics or in stories written to give the impression of the narrator telling the story to an audience (in which case the story can be quite serious).