Okay, it's not exactly the most pressing scientific question of our age, but Josh McDermott, a neuroscientist at NYU, explains why we find fingernails on a blackboard so singularly painful to hear:

"Probably a couple of factors combine to make such sounds unpleasant. The first, perhaps unsurprisingly, is the presence of high frequencies. The range between two and four kilohertz—approximately that covered by the highest octave of a standard piano—seems to contribute the most to the nastiness of the sound. It is unclear why people tend to find these frequencies unpleasant, but we know that noise-induced hearing loss most commonly occurs in roughly this region, so it is conceivable that the aversive reaction partly reflects the ear’s vulnerability."

"The spectrum of screeching sounds is also much noisier than that of an instrument; that is, there is a strong random component to the sound. The noisiness probably results from the fingernails repeatedly catching on part of the chalkboard surface before sliding forward. This catching and sliding also causes rapid fluctuations in intensity, giving the sound a “rough” character."

"Roughness is known to be unpleasant—car manufacturers, who aim to produce minimally unpleasant engine noise, for instance, find that smooth sounds with minimal variation in intensity are preferred by listeners over those that are rough. It’s a bit harder to say why sound roughness is considered unpleasant—as far as we know it is not harmful to the ears."

I had trouble just reading that without shuddering, personally.