Lol, I've heard a lot of stories about women doing jumping jacks or some other exercise and they had the same experiences you have had. From what I gather it's the increased blood flow that intensifies the sensitive parts of your body, like your lady bits, and that coupled with all the lunges or rubbing or whatever else can get you excited.
I take spin classes too and have felt a tingle every now and then, but I chalked up to the shape of the seat. I bought a seat pad, so it's been a while since the tingle.