Step 1 (First blank).
"Interesting" begins with a vowel sound, so we use "an" → "an interesting movie".
Step 2 (Second blank).
The thriller has already been mentioned, so we use "the" → "It was the thriller".
Step 3 (Third blank).
"Edge" begins with a vowel sound, but in idiomatic expressions like "on the edge of a seat", we use "a" because it's not previously specified.
Step 4 (Fourth blank).
"Seat" has now been specified ("my seat"), so "the" is used → "the seat".
Step 5 (Final sentence).
"I saw an interesting movie last night. It was the thriller that kept me on a edge of the seat." — correction: "on the edge of the seat" (standard idiom).
\[
{\text{an, the, a, the (Option (b)}}
\]