means A novel, film, or other story built to keep you tense and gripped through suspense, danger, and high stakes.

from From the verb "thrill," which traces back to Middle English "thirlen," meaning to pierce or bore through — itself rooted in Old English "þyrlian," related to "þyrel," a hole (the same root buried in "nostril," literally "nose-hole"). So a thrill was once a sensation that pierced you. The "-er" suffix turned it into a thing that does the thrilling, and by the early 20th century "thriller" had attached itself to the kind of story that runs you through with suspense.