Another is also one of the manga that comes into my mind when I read your thread title. Anything from Junji Ito's work is also great!
ikrr its been a very long time since a good thriller anime & manga like another was created likeee OH YES JUNJI ITOs works are so cool
Baccano! I honestly didn’t think much of it at first, I was just watching it because it is short and then o ended up loving it.
I kinda love psychological thriller and I'm still not over Perfect Blue, Paprika and Monster. The chills I got watching Perfect Blue I can't even describe bruh. Some other good ones are Shadow House, Serial Experiments Lain, Ghost in the Shell, Parasyte, Another, Boogiepop Phantom, and Higurashi:when they cry
Baccano, Monster and Psycho Pass are my favourites out of what I've watched. A lot of people loved Summertime Rendering but I haven't watched it. And if you like Higurashi when they cry, then I'm scared of you.