I do not remember where I read it, but I came across this question before. The authors of that paper found a very similar in frequency between the sound of fingernails scrapping on a blackboard to the sound of teeth grinning together. The latter is often made by monkey and others primates when they spot their predators, and try to make an alert. It means we, human, might still have similar threat detector system built in our brain, when we hear that sound, we feel scare, or "shivers down your spine" because we perceive it as a warning for something really dangerous nearby. Also the sound of any two objects made from hard material scrapping each other makes people feel uneasy, but not every one, some are sensitive than another.