Chills, 'goosebumps' etc can be induced in a number of ways: musical, scenic, tactile, and even taste sensations etc etc.
A number of experiments have investigated the phenomenon, and investigators have discovered several fairly reliable ways of inducing the feeling. A 2009 paper in the Annals of the New York Academy of Sciences suggested that:
“ … chills are a reliable indicator of individual emotional peaks, combining reports of subjective feelings with physiological arousal.”
But to date there is no current explanation of how it happens, or what function (if any) it may have.