Terror Infinity. My House of Horrors has a lot of thriller, psychological, and detective aspects to it. Utsuro no Hako to Zero no Maria. Each arc requires the main characers to solve a certain mystery/puzzle. Gekkou. It's a short mystery/thriller story with a romantic sub plot. God of Crime. Kami-sama no Memochou Usotsuki Mi-kun to Kowareta Ma-chan. Kamisu Reina wa Koko ni Chiru. Also a shirt mystery/thriller and psychological aspects to it. The forgetful detective series. Gosick's a given.
Dunno if this could be called the best, but I'll recommend anyway: Hyouka. Setting at school, simple mysteries yet somehow it's bigger than what it seems. Love the anime too Shinrei Tantei Yakumo. Supernatural things mixed, but the solutions are logical Edit: no thriller btw
Muchuang and Xiangwan / murder the dream guy Lord of the Mysteries Thriller Paradise Terror Infinity My House of Horrors Misplacement Game