Thrillers conventions:

Enigmas
This refers to a puzzle, something mysterious or inexplicable or a riddle or difficult problem. In thrillers this is commonly something which the protagonist has to try to find out or solve before the narrative is resolved and the film finishes.

Red Herrings
A read herring is the name given to a device which intends to divert the audiences from the truth or an item of significance.

Cliffhangers
Sometimes, although not always used. Often feature a main character in a precarious or difficult dilemma, or confronted with a shocking revelation. This can entice the audience to keep watching in order to see how the situation resolves itself.