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.