The overall feeling is often called "frisson", and some people describe it as the feeling when you're on a swingset and it hits its peak and starts to come back down. I get literal goosebumps from some music, and some movies too, but that's probably just triggered by the soundtrack. Blade Runner 2049 and Annihilation always do it even though I've seen them almost a dozen times each.

For me it's the Charge of the Rohirrim at the battle of the Pelennor fields when Theoden makes his speech to his riders:

"Arise, arise, Riders of Théoden! spear shall be shaken, shield shall be splintered, a sword-day, a red day, ere the sun rises! Ride now, ride now, ride! Ride for ruin and the world's ending! Death! Death! Death! Forth Eorlingas!"

Just typing that gave me goosebumps.

The sound of The Shimmer from the trailer and in the movie (See here https://youtu.be/89OP78l9oF0?t=54) makes my skin shiver every time I hear it. Also I loved Annihilation both in book and movie form. Have you seen its spiritual predecessor, Roadside Picnic?

No! I've never heard of that film. I'll have to watch it ASAP, thanks for the rec!

I get literal goosebumps from music. Not a figure of speech in the slightest.

Sure, I don't doubt people do. I doubt the parent's estimate that "most people" do.

I know it is self selecting, but from the responses here it seems to be most people.