One of the main focus of a thriller are the characters. The audience needs to feel some kind of relation to the character to get them to get in the world of the story. The writter of the story needs to have a deep knowledge of human psychology to make the characters feels like they're in a thriller, specially since the whole story are focused on character development and how they react to what is happening around them. POV, or point of view, of a character can be a great way to tell a thriller story, since it guides the audience around the problem. Specially if the character is talking to themselves or the audience it brings a feel of danger and can even make the audience themselves feel unconfortable. The whole point is to mess as much as possible with the audience head. 

http://www.veronicasicoe.com/blog/2012/10/creeping-up-on-psychological-thrillers/