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1889, "sensational story," agent noun from thrill (v.).
A suspenseful, sensational story or film: “Ken Follett writes best-selling spy thrillers.”
Note: In Great Britain, the word thriller is sometimes used for all mystery novels: “Martha Grimes, an American, writes British-style thrillers.”
An exciting movie, play, etc, esp a horror show; chiller (1889+)