We get goosebumps due to the contraction of tiny muscles called arrector pili around hair follicles when triggered by cold, strong emotions (like fear or awe), or other stimuli. This reaction is involuntary and part of the sympathetic nervous system's fight-or-flight response. Evolutionarily, goosebumps helped mammals by making their fur stand up to trap heat for warmth and make them appear larger to predators, but in humans, with much less body hair, it's now mostly a residual reaction without significant practical benefit.
