Usually, the most thrilling moment occurs when a story gets to its climax. A story consists of such parts as 1) an exposition that introduces characters and setting;
2) rising action which leads to the peak of the story, to the climax.
3) Climax reveals main theme of a story that was hiding between the previous scenes or chapters and provides total excitement to a reader.
4) Falling action - the conclusion of the occurred events.
As you can see, if the story is built in the way i have just described, it keeps readers in suspense between rising action and climax.