It's the same thing. Though "gives me chills" is more common in English. I only knew "frisson" because I speak French, I'm not sure I've ever heard an English speaker use it. (until now)
I use it, (e.g. phrases like "a frisson of doubt") and I certainly wouldn't consider it rare. Though I will grant that it is used less commonly than "gives me chills" and its variants.
I don't think frisson is that unusual, or that it means the same thing as "gives me the chills" -- the latter implies that you're frightened, IMO.
It depends on context, but "gives me the chills" certainly can mean what they're talking about upthread.
Well, I'd agree but chilly has something to do with cold, whereas goose bumps would rather correlate with warmth from a suddenly increased blood pressure. I'd say thrilled (say frilled) was a good compromise, if it wasn't preoccupied. Anyway, I'd not get a kick out of the remark so I wouldn't know what it really means.