Most Helpful Girl
Fight Club. Although not strictly a psychological thriller, it was one of the most psychologically-affective movies that I've watched. It actually made me change my overall philosophy. Two other movies that had similar effects on me were The Green Mile and 2001: A Space Odyssey.
In terms of movies that are actually classified as psych thrillers, my favourites are The Silence of the Lambs, Seven, and The Butterfly Effect.