Piloerection

Involuntary muscle contraction causing hair follicles in the skin to stand (e.g. goose bumps), resulting in increased insulation in response to cold, fear or intense emotional responses (e.g. musical chills).

Reference:
Chaplin, G., Jablonski, N.G., Sussman, R.W. & Kelley, E.A. (2014). The role of piloerection in primate thermoregulation. Folia Primatologica, 85. 1-17.

Blood, A.J. & Zatorre, R.J. (2001). Intensely pleasurable responses to music correlate with activity in brain regions implicated in reward & emotion. Proceedings of the National Academy of Sciences in the United States of America, 98 (20). 11818-11823.