Most Helpful Guy
All of ak666's recommendations are great choices. Donnie Darko, Se7en, Fight Club, and Silence of the Lambs are definitely in my top thrillers.
I also have a thing for Requiem for a Dream, Mulholland Drive, and Pi, although the first can get pretty disturbing depending on your relationship with drugs and both of the latter two have a very serious mind **** element to them that's very love it or hate it.
The best recent non-action thriller I saw besides Gone Girl was Ex Machina.
Most Helpful Girl
North by Northwest.