I love a good thriller in either book or movie form. I think at the top of my list of favorite thriller books would have to be The Bottoms by Texas writer extraordinaire, Joe Lansdale. Set in deep East Texas along the banks of the Sabine River in the 1930's, it's the story of a boy's coming-of-age as he tries to help his father, a small town constable, solve the mystery of a series of grisly murders. It's evocative of that other favorite classic, "To Kill A Mockingbird" in that it's told from the point of view of the children (the boy and his sister), has a sub-plot involving the town bogeyman which in this case is called "the Goat Man", and it deals with the rampant racism that characterize both the region and the period. Lansdale has a wonderful narrative style and is particularly skilled at depicting strong female characters. I met him once at the Texas Book Fair in Austin and told him that I liked this about his work saying something like, "Your women characters are so strong!" to which he responded, "Well of course - they're Texan!"
Two other good scary books that come to mind are "The Exorcist" and "The Shining" - do you have any that you would recommend?
UPDATE: Sandy Underpants, witmeister, has some more recommendations that sound really good, though not of the thriller variety.