I briefly mention this phenomenon in Designing Sound [1], and have
since learned there are several forms of it elicited aurally.
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/