The Merriam-Webster Dictionary gives a good definition and a good example: - a minor thing done for entertainment: <He likes to harass the neighbor's dog as a cheap thrill.> "Cheap" can mean "done with little effort or money" or "contemptible because of low quality". So "a cheap thrill" can be interpreted in that way too.

A cheap thrill is something that has little value and gives you a fun experience. For example, voyeurism is a cheap thrill, racing your car off a stop line is a cheap thrill, watching a person undress in the apartment across the street is a cheap thrill. Etc

It means an enjoyable experience that takes little effort and which has almost no lasting benefit. It's usually a sexual phrase, and if you say it, native speakers will likely interpret it as sexual.