The Silence of the Lambs is probably my favorite thriller, even though categorically I consider it a horror film. It might pretend to be a thriller, but at its core stripped of all its nuances and details, it's definitively a horror film.
Michael Clayton is probably the best traditional thriller to come along in years. It's a fantastic "slow burn" type of modernistic thriller that builds progressively with character and story development. It's dense, almost elegiac in its interweaving of complexities. Incredibly stylish and well-written, acted, and directed to boot.
I'm a big fan of Alfred Hitchcock, who pioneered the thriller genre in my opinion, so obviously I love Shadow of a Doubt, Vertigo and Rear Window. Hitchcock often explores the fragility of sex and death and a big running theme in most of his films rests between the relationship between the main character and his mother (Psycho, North By Northwest, The Birds, Frenzy, Strangers on a Train).
Roman Polanski is also an expert at crafting thrillers, and you get the sense in his films that his main characters are going through some type of paranoia provoked by external circumstances. His characters are usually folk who have no idea what's going on, but think they do (like Jack Nicholson in Chinatown). His most recent thriller, The Ghost Writer, is a great example of this. Ewan McGregor's character is an outsider who gets lured into something that quickly becomes bigger than he ever realized, and he becomes tangled in a web of deception, mystique, and treachery.
Martin Scorsese also has a knack for creating thrillers where he puts you in the mind of a character who doesn't have all of his nuts and bolts, like Travis Bickle in Taxi Driver or in Cape Fear. He enjoys creating hyper-realistic scenarios involving usually normal people in extraordinary lives, like in either Casino or more prominently Goodfellas. However, Scorsese's films aren't traditional thrillers, but are more character analysis's that evolve gradually over time.
Christopher Nolan has perfected the psychological thriller, with his brainy Memento and The Prestige (as well as his modern Batman films). However, I have to give credit to two of his more underrated films, Following and Insomnia. Following has Nolan's signature non-linear style of storytelling but utilizes a slow burn effect to create characters and scenarios and then manipulate you into thinking something entirely else, before it all comes crashing down. Insomnia is a very effectual character drama/thriller where he literally brings you into the sleep deprived mind of Detective Dormer, thusly creating a very sympathetic and ultimately somewhat redeemable character haunted by his inner demons.
Paul Greengrass's style of thriller has been most (unsuccessfully) mimicked in modern action films but regardless of people's complaints over his adherence to "shaky cam" and fast-paced storytelling, Greengrass is probably the master of creating suspense not only through story but through character as well. His two Bourne films work because we see the resourcefulness of the Bourne character as well as his constantly haunted persona, as seen through flashbacks and fragments of memories. However, his best work is the docu-drama United 93, where he slowly and gradually builds tension by taking into account the perceived knowledge of 9/11 and creating a taut, tense thriller out of the established scenario.
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