You just saw a horror movie with a friend. You're talking about parts of the movie that scared you. You say:
That look she gave him sent chills up my spine.
"Giving someone a look" means looking at someone with a certain emotion. You can "give someone a look" when you're angry at them, when you think they're being silly, when you're scared, and so on.
Things that are scary can make you feel cold and make you shiver a little bit. So when something is frightening, you can say that it "sends chills up your spine".
This phrase is usually for talking about scary things. However, in some situations you can also use it for things that make you really excited in a positive way. For example:
The chorus of that song is so beautiful. When I hear that, it sends chills up my spine.
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