It happens with a lot of us that when we are cold or frightened, we get goose bumps. Actually there is a little muscle attached to every single hair on our body.
When we feel cold or afraid, as a reflex action, each tiny hair muscle contracts, or shrinks, and pulls the hair straight up.
As the hair rises up, it pulls on the skin and forms a little bump. We call this a goose bump because it looks like the skin of a goose.