Anxiety and the Chills - The Cause and Connection. The idea is that the anxiety of the horror movie provides a level of fear that sends chills down your spine. Anxiety has often had a connection to chills, even though the exact relationship between anxiety and these chills often seems so unclear.
No one knows for sure. The popular theory is that the Night's King is indeed a Stark. That he was the Lord Commander of the Night's Watch who lived during the Age of Heroes, 8000 years before the time of the series. It's believed he fell in love with a female White Walker, fell in love with her and that they mated.
Now this is often used against Coldhands being the Night's King, the logic being chain mail only came when the Andals brought iron. However, as Bran's last visions approach the execution scene, he actually sees tall and hard, stern men in fur and chain mail..