I have experienced this sensation many times and have wondered why it happens. 
For a while I thought that it was the warmth and pressure near my clitoris that caused the sensation. If men experience PCMS too, that can’t be the case. :smack: I think I have found a better explanation.
I have learned and have noticed personally that orgasm can be achieved through muscular tension. Perhaps through the effort of not urinating, the muscles are tensed. When they are allowed to release by the act of urinating, they have small contractions similar to an orgasm. I am not suggesting that it is an orgasm, only a similar sensation.
Link to column: What causes “piss shiver”? - The Straight Dope
I disagree with Cecil though - “piss shiver” sounds way better than PCMS.
Why not? The warmth and pressure passes even closer to the male homologue (the glans) than it does to your clitoris.
Powers &8^]