Within thrillers their is few types of them such as (there is more!):
In a psychological thriller you would expect confusion for the protagonist and the audience itself, as the story plays with people minds. It does not require blood and gore to create a thrill.
Within this type of thriller the protagonist tend to be a lack of experience investigator or a journalist, who starts off finding out about something small but somehow it leads to something big and unexpected. Which builds up to the fact that their life is in risk.
Example: The Adjustment Bureau-http://www.imdb.com/title/tt1385826/
Enemy Of The Sate-http://www.imdb.com/title/tt0120660/
Supernatural thriller refers to the fact that the protagonist has special powers and is in conflict with another person who does not have any special ability. Occasionally the protagonist will be in a tough situation where there is no easy way out, which creates alot of tension. Though supernatural thrillers can also show other ability or creatures such as aliens, where people can choose for themselves if they exist or not or if it can actually happen.
Example: Dorian Gray -http://www.imdb.com/title/tt1235124/
What Lies Beneath - http://www.imdb.com/title/tt0161081/
The role of the protagonist tends to be a criminal, focusing on their life and how the problem end up happening. Crime thriller tends to have alot of suspense scene and thrill as it makes people wonder who is actually good and bad. Along the crime that is happening, tends to have other smaller crimes linked to it, like a chain of event.
Political thrillers is the kind that has one large problem but have many small ones within it, like a network. Showing from politic struggle to how they succeed and what methods they used to gain it. Which leads to the protagonist to be the person who is there to stop some political matter or make some political matter happen.
Example:The Manchurians Candidate (2004 film)-http://www.imdb.com/title/tt0368008/