There are two ways to break the fourth wall in radio. The first is to directly address the listener, which tends to have little to no effect. The other way is to allow the listener to hear audio that is extant but not actively mic'd. Classic examples include a host leaning away from the mic while laughing, or shouting away from the mic to a third party not "present" in the show. This sort of effect lends a very "unscripted" or "natural" feel to something regardless of how planned or scripted it may have actually been.
Dave and Joel use this effect at the start of most of their shows. We use it sparingly, but it worked pretty well there.
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Dave and Joel use this effect at the start of most of their shows. We use it sparingly, but it worked pretty well there.