It's Garry Shandling's Show (1986) Complete Archive Collection

The series stars Garry Shandling as himself: A neurotic, sardonic stand-up comedian who just happens to be aware he is a television 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 (much like George Burns on The George Burns and Gracie Allen Show). However, on Garry's show, all the supporting characters know they are on a TV show, not just Garry; and the studio audience is often in the storyline.