Mine's from The Hobbit, if that counts.
It's the scene where Bilbo escapes from Gollum, and as he's escaping he can hear Gollum's screaming and proclaiming his hatred for Bilbo.
Boromir's entire death scene at the end of Fellowship of the Ring, especially the whole slow-mo part when he's riddled with arrows, always felt so.. hopeless.
Musical moments that gave me the chills:
1. In FotR just as they set out from Rivendell and the fellowship's theme song blasts out triumphantly.
http://www.youtube.com/watch?v=Dcp9smiG14o (from 1:22)
2. In The Two Towers, Rohan's sad violin playing as we see Eowyn standing outside the castle.
http://www.youtube.com/watch?v=rPfqZkKId9E (from 2:50)
3. Pipin's song, of course.
Oh, oh, oh!
When I saw the lighting on the beacons in The Return of the King, on the big screen for the first time! Man, that was incredible. Definitely got chills that time.
http://www.youtube.com/watch?v=i6LGJ7evrAg (the whole damn thing. ;))
Oh man, for me the lighting of the beacons absolutely gives me chills every time. In my opinion it is absolutely one of the most visually stunning moments in the films.
In Fellowship, when Aragorn lets Frodo go and says "I would have followed you into the very fires of Mordor", I get goosebumps every time. And when Boromir is dying and gives his "I would have followed you, my brother. my king" I cry. Every. Frakking. Time. I *love* Aragorns voice when he says "I will not let the White City fall, nor our people fail" and the look on Legolas' face... yeah, tears /endrant
You know that clip (in both the books and the movies) where Eomer finds Eowyn's body and starts sobbing?
No matter how many times I've seen/read the series, that bit never fails to get me.
From the book: Gimli's poem in the 21st hall, always sent a shiver down my spine as he began the last stanza.
From the movies: Gandalf, falling down the chasm from the bridge of Khazad-Dum, catching Glamdring and proceding to attack the Balrog.
From the movies, the part where Aragorn attacks the boats with the help of his FREAKING GHOST ARMY!
Also, Gandalf returning to the fellowship.
Haven't read the book in ages, but I watch the movies constantly sooo
Pretty much everytime Frodo gets hurt, When Pippin knocks over the bucket in the mines, any and all times someone gets hurt haha, even though I know what happens I still make unnatural noises and grab at my tv wanting to hug each character. Oh when Pippin spies on Sauron on accident, ah that gave me so many chills I had to put on a sweater. haha