What is suspense?

'Suspense is a feeling of uncertainty and anxiety about the outcome of certain actions, most often referring to an audience's perceptions in a dramatic work.'

In thriller films suspense is a key factor, it's what makes the film. The element of surprise is also key in creating suspence.
Suspence creates tension which leads the audience to wonder what's going to happen next.
It keeps the audience on their feet, they don't know what's going to happen next.

Alfred Hitchcock had a theory which was called the 'bomb' theory, he explained it like this:

'Four men are sitting at a table playing poker. The scene is rather boring. Suddenly, after 15 minutes, we hear a big bang - it turnes out there was a bomb under the table. This is called surprise as it isn't what we expected would happen.If we watch the same scene again with the important difference that we have seen the bomb being placed under the table and the timer set to 11 AM, and we can see a watch in the background, the same scene becomes very intense and almost unbearable - we are sitting there hoping the timer will fail, the game is interrupted or the hero leaves the table in time, before the blast. This is called suspense.'