It's fairly common in certain groups. I can't find the paper on it, but I think in the general populace it runs around 30% of the population.

My wife and none of her family for example, absolutely do not frisson. While my father and I do in my family, but none of my adopted siblings do. My mother may or may not, but she tends to fall into "religious experiences" through a variety of stimuli and it's hard to get her to succinctly describe the feeling.