Geeze...
http://en.wikipedia.org/wiki/Goose_flesh
"Goose bumps are created when tiny muscles at the base of each hair, known as arrectores pilorum, contract and pull the hair erect. The reflex is started by the sympathetic nervous system, which is in general responsible for many fight-or-flight responses.
Goose bumps are often a response to cold: in animals covered with fur or hair, the erect hairs trap air to create a layer of insulation. Goose bumps can also be a response to fear: the erect hairs make the animal appear larger, in order to intimidate enemies. This can for example be observed in frightened cats. In humans, it can even extend to piloerection as a reaction to hearing nails scratch on a chalkboard or listening to awe-inspiring music."
If you were a cat, goosebumps means you are puffing yourself up to become bigger, scarier and less edible to a predator. Or since we humans don't meet many predators these days, we pilorerect when we are under the influence of powerful emotional responses (ben was right)
For me: Classical, or great vocal harmonies, gospel, the Nylons, the Eagles' Seven Bridges Road, k.d. lang's Ingenue album, Mocedades "Eres Tu" (which just popped into my head yesterday after a 25 year absence... Thank you iTMS for satisfying that fix), and 'woo-woo' stuff like demonstrations of 'psychic' phenomena. Don't believe in it, but my reptilian brain still says "woo- scary!"