I feel tingling in my scalp, back and sometimes even legs when i listen to a music, feeling proud or honored by someone or emotional. what is that?

That tingling is: Actually a release of a neurochemical in your brain that causes that feeling of tingling due to mild hypersensitization with its release. This is the same thing we feel when we get that "chill" from a thought or a scare but it is noted with a positive connotation instead of a negative one. Nothing to worry about, but amazing physiology!