http://www.bbc.co.uk/arts/0/24083243 We really don't understand what goes on in our brains. This does not just relate to music but to other things as well.
Composers who work with movie scores havemany methods to adjust our mood to match the atmosphere they are trying to creat in a scene. Try to imagine a horror movie scene played with cheerful music, the image does not quite work.
Horror also often uses a technique called infrasound, it is not detectable by ear but it does assist in unnerving you. I wonder if signals like infrasound are whyyou get a sudden chill at random moments.