Let's start off with something light hearted.
I often complain about a movie or TV show breaking the 4th wall. For those of you who don't know, breaking the forth wall is when an actor or filmmaker acknowledges the audience in some way. Many examples of this can be seen in Jay and Silent Bob movies when the duo will look into the camera after making a witty remark.
But these are not the ones that make me cringe. Breaking the 4th wall is perfectly fine if the media is not taking itself seriously, or if it is for the purpose of narration (or both, in the case of Arrested Development). It is also fine if it is part of the character (Malcolm in the Middle or Deadpool). These forms generally achieve their intended purpose, which is either to inform the audience or make you laugh.
The kind that annoys me is when it's used to immerse you in the action. This usually comes about when the camera lens interacts with the environment. People must think they're clever having rain droplets on the screen when it's raining, but all they've done is remind me that I'm watching a movie. It's really counter productive. The whole point was to make me feel like I was there, but what they've really done is put me right back in the theater (or living room). It's the surest way to kill the mood.
Any filmmaker who wishes to truly immerse the audience in their fictitious world would do well to avoid breaking the 4th wall.