Humans involuntarily develop goose bumps when they are cold or when they experience deep emotions. Many other mammals also experience this reflex--cats' and dogs' hair will stand on end, porcupines raise their spiky quills and sea otters' fur also rises.
When a mammal is cold, the rising hair traps air between the skin and hair, which creates insulation. In a threatening situation, goose bumps make an animal appear larger. In humans, goose bumps can be triggered by our "flight or fight" response. When you feel in danger, your system is flooded with adrenaline to help you either flee the situation or defend yourself.
The sympathetic nervous system, which is responsible for the adrenaline, speeds up the heart rate, raises the body temperature and increase metabolism. This same nervous system also controls goose bumps. Sometimes, humans get goose bumps just because they are experiencing intense emotions. This can often happen when listening to awe-inspiring music or music that you have a deep emotional connection to. Involuntarily, you get chills and goose bumps.