Popular Thriller Tropes: Villain

A thriller film is often defined by the villain rather than the main character. Their menace/threat that they pose is often the driving force of the film and so they are remembered for that. 

The film Skyfall which is part of the James Bond uber-franchise is remembered for his unique appearance and sheer insanity. 

Despite the plot hole that the character was disfigured by cyanide (which would be impossible), this scene is regarded as a highlight from the film. 

John Doe from Se7en (played by Kevin Spacey) is a methodical religious extremist. 

His crimes in the film are gruesome and horrifying making him a more formidable foe. 

The reality of the character is the most memorable part of his character. It feeds into the fear of the film and the macabre oddity of the mis en scene. 
He as a person, is cool and collective with his face value nature only giving a peak into the super-disturbed mind within.

The xenomorph in Ridley Scott's original horror/thriller, Alien is first and foremost a hunter. 
A monstrous killing machine, the xenomorphs sole purpose is to kill making him/her unpredictable and highly dangerous.
Arguably the greatest villain of all time due to their ferocity, the xenomorph has spawned a whole franchise lasting even now.