Thrillers, who-dunits, mysteries, crime fiction, etc are quite often interchangeably used to describe the same overall genre of literary fiction - the mystery or crime story. Yet there are differences! A mystery is not equal to a thriller.
Thrillers are a genre that uses suspense, tension, and excitement as the main elements. The thriller can be loosely defined as a story in which the audience is waiting for something significant to happen. The protagonist's job is to prevent the bomb from exploding or the kidnappers from killing the major's wife. The thrill comes from identifying yourself with the hero and the danger he or she faces, making you a participant in the chase, racing heartbeat and all. The main character may be in danger from the beginning or become aware of danger only gradually in a thriller.
Mysteries are a crime genre that focuses on the efforts of the detective, private investigator or amateur sleuth to solve the mysterious circumstances of a crime by means of clues, investigation, and clever deduction. In a mystery the above mentioned "something" - usually a murder - has already happened, or will happen right at the beginning of the novel. The protagonist's job is to discover who committed the crime, and why. Basically a mystery is a novel of revelation, where the action is more mental than physical. If the protagonist is in any danger, it is usually moderate, and becomes a problem only as the he or she approaches the truth.
Another important difference is that in a mystery, the reader is exposed to the same information as the detective, but in a thriller the reader is aware of things unknown to the protagonist.
Personally I like to read both genres, though I admittedly have a penchance for those cozy mysteries as mentioned above. How about you? Are you more of a edge-of-the seat kind of reader who likes action packed thrillers or do you rather immerse yourself in playing sleuth to solve a crime? Maybe both?