I don't know if it is generally classified as thriller or horror but I'm going for Hannibal.
Altough silence of the lambs is a genuine masterpiece I feel that it's sequel Hannibal is often undervalued.
Yes the movie has a diffrent Clarice Starling but Julianne moore is a worthy replacement for jodie foster.
Another great thing about this movie is that we see Dr.lecter in his natural environment (Florence, Italy) doing all kinds of awesome things : giving lectures on Judas, being a stylish bastard , becoming the curator for a library and of course hanging a man by his intestines.
Last but not least there is also the great soundtrack by Hans Zimmer. They created and aria especially for this film : "Vide cor meum" it's the text of Dante Alighieri's sonnet "A ciascun'alma presa" from "La vita nuova".
I wanted to post the opera scene but it's removed from youtube :/