Does occur from time to time; depends on the song, and if there's an emotional connection to it.
[YOUTUBE="http://www.youtube.com/watch?v=vShacFDbzGo"]Questions and Answers - Hidden Palace[/YOUTUBE]
Case in point, can't listen to this without a wave of coolness over the body and just immediately relaxing into a calm bliss.
Other songs can create immediate changes in mood and temperament as well; from anger to grief.
Euphoria depends on the song, overall, but it can drastically change ones' perceptions I've found.
Some people are likely far more attuned to such than others though.
Some songs I can't listen to without crying, while other people I'm sure wouldn't feel much of anything. Guess it's all relative to the individual, really.