Goose bumps are a phenomenon caused by the sympathetic nervous system, which controls our fight-or-flight response. When you encounter a dangerous situation, such as a bear approaching you, your sympathetic nervous system sends more blood to your brain, slows digestion, and causes your pupils to dilate — all things that will help you either “fight” or “take flight.”
Goose bumps are one of those fight-or-flight responses of the sympathetic nervous system. When you experience cold or fear, for example, a nerve reaction is sent to the muscles that control the hair follicles on your skin, which cause them to contract. This muscle contraction causes the hair follicles to elevate above the skin (and your hair to stand erect) and resemble the bumps on a goose’s skin after its feathers have been plucked — hence the name goose bumps (other names for goose bumps include goose flesh or goose pimples). The medical term for goose bumps is cutis anserina, coming from the Latin for the word goose. Even weirder sounding? The name for the reflex that causes goose bumps to occur is horripilation (a combination of the Latin words meaning “to bristle” and “hair”).
Goose bumps are an evolutionary vestige. Our distant ancestors, like many animals, had fur. When an animal with fur feels threatened, the folicles in the skin react by standing the hair upright, in an attempt to make the animal look bigger. When we get scared our skin still does the same thing, but there's no longer any thick fur there to stand up, so we just get the little bumps.
"Goose bumps, also called goose flesh, goose pimples, or the medical term cutis anserina, are the bumps on a person's skin at the base of body hairs which may involuntarily develop when a person is cold or experiences strong emotions such as fear, nostalgia, pleasure, euphoria, awe, admiration and sexual arousal. ... Other creatures get goose bumps for the same reason, for example this is why a cat or dog?s hair stands on end. In cold situations, the rising hair traps air between the hairs and skin, creating insulation and warmth. In response to fear, goose bumps make an animal appear larger ? hopefully scaring away the enemy." [ http://www.wikipedia.org/wiki/Goose_bumps ] and yes, I'd say most people do. (look paticularly on the second half)
I remember learning back at school that with the goosebumps you get from being cold, making your hair stand up is an attempt to retain heat, to stop your body warmth from escaping your body so quickly.
I remember this one because it makes more sense to me than any of the other reasons I've heard.