What is a typical story and setting of a Thriller?

The main character of these films is set against a problem – an escape, a mission, or a mystery. No matter what sub-genre a thriller film falls into, it will emphasise the danger that they face. The cover-up of important information from the viewer, and fight and chase scenes are common in all of the thriller subgenres, even though each subgenre has its own unique characteristics and methods.

Plots of thrillers include characters which come into conflict with each other or with outside forces – the threat is sometimes abstract or unseen. An atmosphere of creepy menace and sudden violence, such as crime and murder, characterise thrillers. Thrillers often present the world and society as dark, corrupt, and dangerous, but in Hollywood, they usually feature upbeat endings in which evil is overcome. The tension usually arises when the character is placed in a menacing situation, a mystery, or a trap from which escaping seems impossible. Life is threatened, usually because the principal character is unsuspectingly or unknowingly involved in a dangerous or potentially deadly situation.

Thrillers emphasise the puzzle aspect of the plot. There are clues, and the viewer should be able to work out the solution at about the same times as the protagonist. In thrillers, the compelling questions isn’t necessarily who did it, but whether the villain will be caught before committing another crime. Hitchcock's films often placed an innocent victim (an average, responsible person) into a strange, life-threatening or terrorising situation, in a case of mistaken identity, misidentification or wrongful accusation.

Thrillers take place mostly in ordinary suburbs and cities, although sometimes they may take place wholly or partly in exotic settings such as foreign cities, deserts,polar regions, or the high seas. These usually tough, resourceful, but essentially ordinary heroes are pitted against villains determined to destroy them, their country, or the stability of the free world. Often in a thriller, the protagonist is faced with what seem to be overwhelming problems in his mission, carried out against a ticking clock, the stakes are high and although resourceful, they face personal dilemmas along the way forcing them to make sacrifices for others.

 http://en.wikipedia.org/wiki/Thriller_%28genre%29#Story_and_setting