dramatic irony

from The American Heritage® Dictionary of the English Language, 5th Edition.

• noun The dramatic effect achieved by leading an audience to understand an incongruity between a situation and the accompanying speeches, while the characters in the play remain unaware of the incongruity.

from Wiktionary, Creative Commons Attribution/Share-Alike License.

• noun A theatrical effect in which the meaning of a situation, or some incongruity in the plot, is understood by the audience, but not by the characters in the play.

from WordNet 3.0 Copyright 2006 by Princeton University. All rights reserved.

• noun (theater) irony that occurs when the meaning of the situation is understood by the audience but not by the characters in the play