Code and conventions.

Narrative - often the narrative includes a single goal/task to be completed by the protagonist, the plot always builds up tension to eventually reach maximum climax that keeps the audience engaged. This tension usually takes place when the protagonist is in a threatening situation where the escape or getaway seems impossible. The protagonist always comes into conflict with the antagonist which is often considered the maximum climax. However is almost certain the protagonist comes out successful over the antagonist.

Themes - Themes of the thriller genre may include crime, spies, terrorism, supernatural events and mystery solving.

Iconography - Shadows are very common in thrillers as they give the audience a sense of the unknown. It gives the impression the protagonist is being followed or watched, its quite common for them to not be aware of this but they'll have a sense something isn't quite right, therefore been perfect for building up tension. However, some films use foreshadowing by suggesting that the antagonist could have the shadow behind them hinting at their dark sole. 
Woods/forests as a setting are also very common, they give a sense of vulnerability due to the isolation and lack of security, its quite often something is discovered here to do with the antagonist although that's leading into link with horror films.
All weapons whether its guns, knifes or axes represent death. As an audience you would expect to see these in a thriller. Instantly we see danger and a form of conflict about to take place, this automatically keeps the audience engaged. 
Another typical setting would be an urban city the main colours used here are usually grey, black, white and any other dull colour often to reflect the boring same day to day life, however we may see striking colours to suggest things to the audience, for example if we see a red alarm this may be because the protagonist is in danger.
The protagonists costume often includes a dark suit with them usually being male. But, in some cases the protagonist will be female wearing revealing clothes to make her appear seductive and vulnerable. The stock characters often wear day to day cloths giving the vibe that a 'thrill' could happen to anyone suggesting realism.
Other things thrillers may include are mirrors (refection of ones inner self), Flashbacks (disorientation), Fast paced editing (tense).