I think a bit of prodding at the 4th wall can be a good thing every now and then. Futurama seems to be very "Carol Burnettish" in the way its done. (Burnett was constantly mugging and staring at the camera, but never blatantly breaking the wall) It's not a common Futurama occurrence, but it can provide some good entertainment when it happens.
My personal favorite is in ITWGY when Bender says "No, Fry's crazy in this one."
That was one of my favorites too.
They broke the fourth wall so many times in the movies.