The chills you get when you listen to music, is mostly caused by the brain releasing dopamine while anticipating the peak moment of a song. It is called musical frisson.
This is caused by the release of a neurotransmitter called dopamine triggered by the music. The resulting chills alters the human body’s heart rate, breathing, temperature, and skin conductance. More pleasurable music increases the amount of dopamine released, contributing to more of the physical response.