How does goose pimples / goose bumps form?

When you're scared or cold, your muscles tense up, including tiny muscles attached to each hair (arrector pili). When these muscles tense up, the hairs are forced upright, pulling skin with them into little bumps. This reaction is apparently left over from back when people were a lot hairier, and this actually helped keep them warmer, or made them look larger and more imposing to an enemy.

You know, like how cats poof their fur out when they're angry or frightened.

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