What causes "goose bumps"?
There is a bundle of smooth muscle called the arrector pili attached to the hair follicles.
The arrector pili is innervated by the autunomic nervous system (ANS), which is an independent branch of the nervous system that keeps the body functioning normally. When the ANS activates the muscles, this causes your hair to rise up. Goosebumps are more prominent in areas with less or no hair because the arrector pili raises the surface of the skin more noticeably. Stimuli for goosebumps include cold environments and fear as mentioned by Shanyting