Woman in black is very, very good, especially the first time you see it...minimalistic and gripping...with the right cast...which you won't know unless you go...cosy theatre too...
Thriller is ok, but there's not much there apart from other peoples versions of his songs, a bit of dancing here or there and a very, very brief, good time version of history.
I've heard good things about Wicked but I've heard not so good things too and I'm not into musicals, so unless someone surprises me, I'd rather save the headache.
39 steps looks interesting though, so I'd probably plump for that myself, having had my fill of the other one...which is the only one I can actually recommend.