As a general rule, you might want to check wikipedia before posting here. On the other hand, I am glad you made me look the answer up.
Goose-bumps warm you up a little. "During the formation of goose bumps, the body is warmed from the muscle tension in piloerection."
There are other reasons, which do not directly serve humans, but may be a remnant from evolution. In animals with fur, the erected hair makes thicker insulation and further protection from cold. "Goose bumps can also be a response to anger or fear: the erect hairs make the animal appear larger, in order to intimidate enemies."
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