The phrase is informal and suits casual conversation rather than formal situations. Hearing the ghost story really put the wind up me last night.
Pro Tip 2/3
British Origin
It is a British English expression and may not be well-understood outside of the UK. She didn't understand when I said the thunderstorm put the wind up me.
Pro Tip 3/3
Emotional Impact
The phrase reflects a strong emotional reaction and isn't just a minor scare. The way he drove at high speeds really put the wind up his passengers.