What is Action/Adventure?
Action and Adventure can actually be broken into two different genres, but are so similar, that many put them together.

According to Wikipedia (http://en.wikipedia.org/wiki/List_of_genres)

Action is:

A story, similar to Adventure, but the protagonist usually takes a risky turn, which leads to desperate situations (including explosions, fight scenes, daring escapes, etc.)

And Adventure is:

A story about a protagonist who journeys to epic or distant places to accomplish something.

I suppose it is easy to see why these two are often put together. While journeying to an epic or distant place, it would make the story if it took a risky turn! I mean, really, what adventures don't take risky turns? Not many that I know. This is why the genres would be put together on places like WdC. Putting them together makes them more complete.

What is Thriller?

According to the same website, Thriller is:

A story that is usually a mix of fear and excitement. It has traits from the suspense genre and often from the action, adventure or mystery genres, but the level of terror makes it borderline horror fiction at times as well.

I want you to notice... it has traits from the action and adventure genres (as well as many others), but is not synonymous. Now, there is nothing saying that a Thriller can't also be an Action/Adventure. There can be a mixture of fear and excitement as an adventurer makes his journey that takes risky turns, but it is not a requirement.