Cecil have overlooked something in his answer to this question, although his answer has merit. Our sensitivity to this sound is biologically based.
This sound is one of a large group of kinds of sounds (and other stimuli,) which are commonly called ‘triggers’ for certain kinds of neurological reactions. The shivers or twitches (the heebie-jeebies,) that most people report in reaction to such sounds are one of these neurological reactions.
Migraines, epileptic seizures, and the auras that frequently precede such phenomena, are known to be ‘triggered’ by certain kinds of stimuli. The process is called ‘kindling,’ and this phenomenon is sufficiently common that there are legally required precautions against the public presentation of some of them. For example, it is well known that flickering or blinking lights, at certain frequencies, are likely to precipitate seizures, ‘hysterical’ states and or fainting, (which can be quasi-epileptic phenomenon,) and of course, migraines, as well as nausea, trance states, and automatic behavioural states involving events which cannot be remembered later. These are weird states.
This explains the ‘hysterical’ phenomena that accompanied the use of strobe lights at certain music concerts. Flashing lighting changes on TV shows have recently been implicated in seizure occurrences, particularly in Japan. Legal restrictions have been put in place, on the frequencies of strobe flashes which are most provocative.
The list of such ‘triggers’ is long, but patterns are evident. The stimuli are usually perceived as irritating. They tend to fall into types, such as (1) sounds, like the scraping sound that started this conversation, ringing or clanging sounds, musical discords, (2) smells, like smoke, sulphurous smells, oily or tar related smells, nauseating smells, or (3) lighting effects, like flashing or the flickering associated with fluorescent lighting, and the flashing lights on emergency vehicles. However, such triggers can also include kinds of physical stimulation which are perceived as intolerable. Consider the reaction some people have to being tickled, or to having air blowing on them.
People who have medical conditions related to epilepsy are susceptible to the effects of these triggers, but such susceptibility is not rare – an astonishingly high proportion of the population has such vulnerability. And almost all of us are irritated by sounds like chalk squeaking on blackboards, and ‘feedback’ shrieking sounds from sound systems. They are neurologically painful and over-stimulating.