Suspense is created when audience members are privy to potentially dangerous information that the characters don't know. For example, if a character walking down the street is randomly killed, no suspense happened. However, if a character is walking down the street and the audience is able to see the murderer waiting in the shadows, but the character can't, suspense is felt and viewers become anxious wondering what will happen.
Suspense works best when it builds. Audiences know something bad will happen, but it takes a while before it does. This builds the tension, as audiences become overwhelmed with worry about what is going to happen to the characters. Rarely does a character in a movie come face-to-face with the villain and immediately get killed. Instead, the tension is built. The villain fires the gun, but misses. The villain taunts the character, playing games with the character's mind. These things build the tension, putting audience members at the edge of their seats.
A viewer becomes drawn into a movie when she is invested in the characters, meaning she cares what happens to them. This is true in all genres, including suspense. A viewer's worry about what is about to happen to the character is heightened because he's emotionally invested in the character's well-being. He doesn't want the character to be killed or harmed in any way. He wishes he could warn and help the character. This builds anxiety and tension for movie viewers, leading to more suspense as they worry what will happen to the characters they have grown to care about.
Suspense is created when an audience member starts thinking, "Hmm, there's something not right with this character." This is evident in Hitchcock's 1960 film "Psycho." The main female character, Marion Crane, arrives at the Bates Motel and meets Norman Bates. Neither the audience, nor Marion, has any idea that Norman will later kill her. However, some things start to seem not right about him. He has a large collection of taxidermy animals. His relationship with his mom seems strange for a grown man. He gets angry and defensive when Marion politely questions him. These hints contribute to the audience's growing suspicion that something is not right with Norman Bates. This, in turn, creates suspense for the movie's viewers.