Goose Bumps. What are they? Radiolab informs us:

1. It traps heat! The air your body heats up gets trapped more effectively when all those hairs are erect, so you’ve got yourself a nice warm layer of air to prevent against the advancing cold. Mmmm. Cozy town.
2. It makes you look bigger to predators. Poof. I’m giant. I swear. Rowr.

But there’s more to the story. Why would an emotional passage in a piece of music cause goose-bumps? Maybe (Radiolab suggests) because the awesomeness of the passage makes us feel small, maybe a little too small, which gets us feeling a big defensive and helpless, making us bring out the goose bumps for reasons #2 above.