It's Garry Shandling's Show S4 E6

Garry Shandling stars as himself, a neurotic, sardonic stand-up comedian who just happens to be aware he is a sitcom character. Garry spends just as much time interacting with the studio audience as he does the regular cast members, performing monologues and show-closing summations of the episode's events. However, everyone knows they're on TV, not just Garry; and the audience (itself a character) is often involved in the storyline.