If somebody were to ask me to name a movie that embodies what a thriller flick is, Fatal Attraction is one of the first titles that would come to mind. It continuously builds and builds, always getting a just a little more and more intense as it moves along and then explodes as we arrive to it's perfectly psychotic finale.
Glenn Close is fantastic in her role. I don't personally find her to be all that attractive but I've always seen her as a real-life Leatherface because she looks like a person who is wearing someone else's face and that just adds to her crazy performance. Although she is portrayed as the "bad guy" in the movie, there's this huge grey area of empathy that you feel for her character due to the deplorable 'hit it and quit it' actions of Michael "I got cancer from cunnilingus" Douglas.
If you're looking for a chilling movie outside of the horror genre, Fatal Attraction is a fine choice.