Humans get goose bumps when they are cold, frightened, angry, or in awe. Many other creatures get goose bumps for the same reason, for example this is why a cat or dog’s hair stands on end and the cause behind a porcupine’s quills raising.
In cold situations, the rising hair traps air between the hairs and skin, creating insulation and warmth. In response to fear, goose bumps make an animal appear larger – hopefully scaring away the enemy. Humans no longer benefit from goose bumps and they are simply left over from our past when we were not clothed and needed to scare our own natural enemies.
Natural selection removed the thick hair but left behind the mechanism for controlling it.