Action Thriller - This type of thriller involves heavy action and that would be quick and fast paced film. (E.g. Resident Evil)
Psychological Thriller - Thriller that would keep the audiences mind going and leading them to question many things. (E.g. The Butterfly Effect)
Supernatural Thriller - Things that occur out of the ordinary, usually to do with spirits or ghosts. (E.g. Paranormal Activity)
Political Thriller - Mostly set on plots that would take ones power and give it to someone else, tends to involve action. (E.g. Enemy Of The State)
Suspense Thriller - Thriller is set on tension, excitement and suspense, but suspense thriller takes a step further and really gets the audience's heart going. (E.g. Phonebooth)
Erotic Thriller - Consists of sexual activity and attraction between two people. (E.g. Fatal Attraction)
Conspiracy Thriller - Often contain journalists or amateur investigators finding something believed to be unusual and being lead on to something much bigger than expected. (E.g. The Conversation)
Mystery Thriller - Usually involves murder and the investigation of the crime and 'whodunit' (E.g. The Game)
My favourite thriller has to be psychological thriller because I like the fact that it gets the audience thinking and I enjoy having to figure out what is going on and having to use my brain to solve answers. Psychological-thrillers not only affect you during the film but after the film also, you look at certain things differently and it affects the way you make a judgement about certain things too.
I particularly like 'The Butterfly Effect' as it totally had my mind racing throughout the whole film. I loved it.