Goosebumps (piloerection) are an ancient physiological response to cold, where tiny neurons mechanically lift hair follicles to trap air and create insulation.

“The other thing that happens is you'll get goosebumps. So-called goose pimples they're sometimes called. Those are a throwback to the time where we had fur over most, not all of our body. All mammals in the cold have a process whereby adrenaline is released at low levels typically into the body, that adrenaline activates what are called sympathetic fibers, they have nothing to do with sympathy, those little fibers, which are neurons, those fibers that what I'm saying are fibers are neurons, not clothing fibers, reach up into the skin so your whole body is covered with these little tiny neurons that reach up into the skin and when we are cold, they actually mechanically take the hair follicle and bend it up, it's a process called pilo erection, P-I-L-O erection, okay?”