It turns out that goose bumps are an evolutionary holdover from when we had fur. Here’s Harvard’s Steven Pinker:
Our own bodies are riddled with quirks that no competent engineer would have planned but that disclose a history of trial-and-error tinkering: a retina installed backward, a seminal duct that hooks over the ureter like a garden hose snagged on a tree, goose bumps that uselessly try to warm us by fluffing up long-gone fur.
My wife says Steven Pinker has a lewd name.
Oh, and Thomas Jefferson had a fur coat (to replace the one that he lost from evolution):