It's not that common that a video game character realises that he's actually in a video game. And like any fourth-wall breaking shenanigans, it can be a tricky manoeuvre to pull off.
Leave it to Remedy, the guys running the Max Payne franchise before Rockstar took over, to put their own paranoid protagonist through the ordeal. Skip to 1:57 for it -- while in a drug-induced stupor (and getting the snot pounded out of him in the real world), Max realises firs that he's in a graphic novel, and then that he's in a video game.
Somehow I doubt we'll see anything like this in Rockstar's Max Payne 3, but I guess you never know.