The most common and most likely answer to this crossword clue is the 9 letter word ELECTRIFY
I've seen this crossword clue in Financial Times
E
L
E
C
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Buddy explains!

The straight part
We know that "thrill" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case thrill = electrify.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does ELECTRIFY mean?
ELECTRIFY verb- To supply electricity to; to charge with electricity.
- To cause electricity to pass through; to affect by electricity; to give an electric shock to.
- To adapt (a home, farm, village, city, industry, railroad) for electric power.
- To strongly excite, especially by something delightful or inspiring; to thrill.
- To become electric.