According to Cole, A. & Kellman, R.:

Charles Darwin once investigated goose bumps by scaring zoo animals with a stuffed snake. He argued for the now accepted theory that goose bumps are a vestige of humanity’s ancient past. Our ancestors were hairy. Goose bumps would have fluffed up their hair. When they were scared, that would have made them look bigger — and more intimidating to attackers. When they were cold, that would have trapped an insulating layer of air to keep them warm.

Why Do We Get Goose Bumps When We're Scared? : Shots – Health News : NPR

https://www.npr.org/sections/health-shots/2015/10/30/452984579/why-do-we-get-goose-bumps

Skunk Bear’s shivery new video explores how and why our skin acts so weird when we watch a scary movie, get cold or listen to music.