What makes a thriller a thriller?

Thriller is a genre of literature, film and television programming. It is a work of fiction or drama designed to hold the interest by the use of a high degree of intrigue, adventure or suspense.

Story

The most important thing of a thriller is certainly the story.
Steven Spielberg said that if there is a story that is worth telling the thrill come automatically.
The protagonist in these films is set against a problem – an escape, a mission, or a mystery. No matter what sub-genre a thriller films falls into, it will emphasize the danger that the protagonist faces.
Thrillers emphasize the puzzle aspect of the plot.

In a thriller movie, you need to keep the question of what comes next foremost in the viewers´ mind as the movie progresses. The viewer should be able to determine the solution at about the same time as the main character.
A story also needs terrific dialogs and surprises for the viewer, something what he is not even expecting.

Technical Conventions

Basically technical thriller conventions are specific camerawork, sound, mise-en –scene, editing and lightning.
To make the film scenes more exciting you need specific camerawork like reveals (zoom-in), dramatic angles. For making camerashots much clearer are lightning effects often used: e.g. strong directional lightning or low key lightning.
Also sound is a very important factor for keeping the suspense level high. In thriller films are tense music, off screen music, off screen sounds and exaggerated sounds often used.  But sometimes also silence is a good instrument.

For polish the movie in the end, editing is very important. With good cuts like parallel editing you can confuse the viewer and it could build the suspense level up. With the editing you can cause feelings and suspense in the scenes. This you could boost with chiaroscuro, over exposed or colour manipulation and fade to black because then the viewer don´t know what comes next.
What also can confuse the viewer is disorientation in time and space

Common Themes

Common methods and themes in crime thrillers are mainly kidnappings, revenge and heists. In mystery thrillers are investigations and the whodunit common techniques. And in psychological thrillers are mind games, stalking and deathtraps very common.
In spy thrillers is it mainly assassins and electronic surveillance and also threats to entire countries.

Characters

Characters in thrillers include convicts, criminals, stalkers, assassins, down-on-their-luck losers, innocent victims (often on the run), prison inmates, menaced women, characters with dark pasts, psychotic individuals, terrorists, cops and escaped cons, fugitives, private eyes, drifters, duplicitious individuals, people involved in twisted relationships, world-weary men and women, psycho-fiends, and more. The themes of thrillers frequently include terrorism, political conspiracy, pursuit, or romantic triangles leading to murder.

This is just a list of the different types of characters could be part of a thriller film. But the most important thing is that the characters have to be believable. You don´t even have to like them but you have to believe in them. You have to care about the character. They have to be interesting so that you want to know more about the characters background.

Also important is who is playing the role of the character; it has to be a good actor, who can represent himself and the role very good.

Setting

The settings of the films have to be well chosen. Places can also cause lots of suspense. 

The places have to be actual places, like actual cities and actual countries, because then the viewer got an own connection the place, and this can draw his interest to the film.
The location could be mysterious e.g. a warehouse, a dark wood or streets etc.