A frisson is a thrilling shiver. Some people love roller coasters so much that they feel a frisson of excitement just looking at one.
You're just as likely to feel a frisson whether you're scared or excited; its meaning lies directly between thrill and fear. When you hear a scary sound in the basement late at night, and open the door to investigate, you might feel a frisson of fear as you start to descend the steps. The Latin root is frigere, "to be cold," and while a frisson is certainly shivery, its source is a thrill rather than a chill.