From The Sync Project:
Music has the power to stimulate strong emotions within us, to the extent that it is probably rare not to be somehow emotionally affected by music. We all know what emotions are and experience them daily. Most of us also listen to music in order to experience emotions. The specific mechanisms through which music evokes emotions is a rich field of research, with a great number of unanswered questions. Why does sound talk to our emotional brain? Why do we perceive emotional information in musical features? Why do we feel the urge to move when hearing music? Through increasing scientific understanding of the universal as well as the individual principles behind music-evoked emotions, we will be able to better understand the effects that music-listening can have and make better use of them in an informed manner.
Perhaps the primary reason for music listening is the power that music has in stirring our emotions. Music has been reported to evoke the full range of human emotion (1, 2): from sad, nostalgic, and tense, to happy, relaxed, calm, and joyous. Correspondingly, neuroimaging studies have shown that music can activate the brain areas typically associated with emotions (3): the deep brain structures that are part of the limbic system like the amygdala and the hippocampus as well as the pathways that transmit dopamine (for pleasure associated with music-listening). The relationship between music-listening and the dopaminergic pathway is also behind the “chills” that many people report experiencing during music-listening. Chills are physiological sensations, like the hairs getting raised on you arm, and the experience of “shivers down your spine” that accompany intense, peak emotional experiences.
However, we don’t always listen to music to be moved – sometimes people use music for other effects.
More here.