'Suspense' is the feeling that is created when someone is expecting or anticipating something they think will happen. Usually in thrillers, the thing they are expecting is something scary or unknown.
This clip from 'What Lies Beneath' is a perfect example of creating suspense in a thriller, building up to a shock. The music is quiet and low, and the cuts and characters movements are slow and suspenseful, until the character sees the reflection in the water. She screams and loud ominous music plays, making the audience jump (probably).