As well as the pleasurable goose-bumps associated with positive musical emotion there's another kind, an 'uneasy' frission that is the feeling of hairs on the back of your neck raising.
While the "Wilhelm scream" is the most talked about sound design cliche, probably the one familiar to most of you will actually be the "doom tone" (60-100Hz noise bands), a signifier of "space", "evil" etc - think of Vader's "force choke".
It's a great example of a fear response that is hard-wired, because it represents danger, avalanche, thunder, earthquake or stampeding animals. We have deep auditory circuit, and evolutionary advantage to run away.
The other kind of frission stimulated by very high buzzing seems more mysterious. I discussed with sound designer prof. Mark Grimshaw, who amongst other things is an expert on the horror/suspense genre [2], as to why some screeching (bat-like) or buzzing sounds might give us such creepy feelings. It turns out the sound of mosquitos causes the hairs on the neck to stand up - likely a defence against being bitten when we were much hairier creatures.
Still mysterious, I think, is the reason nails on a blackboard "hurts your teeth", and the exact mechanism and function of pleasurable frission is still a mystery as far as I know. I suspect it may have a social signalling utility, much like blushing. In times when we were much more attuned to each others' body states there could be an evolutionary advantage to signalling when we feel good about something.
[1] https://mitpress.mit.edu/books/designing-sound
[2] https://sonicfield.org/sonic-virtuality-sound-as-emergent/