According to a study by USC PhD student, Matthew Sachs, published in Oxford Academic, getting chills, or goosebumps from music means you are more in touch with your emotions than those who do not.
If you are among those who get goosebumps when listening to music it means you have a special brain with a higher volume of fibers that connect their auditory cortex to the areas associated with emotional processing, which means the two areas communicate better.
How conclusive is this study? Well, it was conducted with a group of only 20 people so more testing should happen in order to really prove Sachs theory.
For more on the study & Sachs’ reasoning head to Quartz.