There are many types of thriller films such as,
Psychological thriller - The suspense is created based on psychotic behaviour and usually involves blood.
Supernatural thriller - This is were tension is created with some sort of supernatural elements
Political thriller - This could be with different plots associated with the government or even power struggles.
Erotic thriller - Consists sexual attraction or activity between two people
Action thriller - This is were there is a lot of fast motion, and a lot of actions.
Conspiracy thriller - Are often to do with journalists or amateur investigators dealing with something that is found to unusual which then leads on to something much bigger than expected.
One of my favourite thriller movie is "Resident Evil" because it has a lot of action even with the female characters, and I like the use of weapons as it creates more tension and motivation into destroying the creatures in the film.