As I was reading up on more of the evolution of certain organs, I came across an interesting historical context for goosebumps. Goosebumps are related to the skin organ that more than likely we have all experienced on occasion, but don't stop to think about it. We get goosebumps typically in very cold weather. Other animals such as porcupine's have a similar response. The individual hairs rise up from the skin as a mechanism for creating insulation. Goosebumps also function in response to fear. In the animal world, goosebumps serve to make the animal look larger in size as a means to potentially scare away enemies.
These two aspects of temperature regulation and fear are the underlying reasons for goosebumps. As time as passed, these motives have disappeared for humans but goosebumps still remain. Humans no longer need temperature regulation because of the advent of clothing as opposed to ancestral times where humans roamed naked. Secondly, humans don't have direct enemies and thus do not need the scare mechanism. Somehow natural selection acted on the skin organ and removed the traits for thick hair but left behind the onset of goosebumps that serve a different function than its original intent.
Source: Top 10 Signs of Evolution in Modern Man. http://listverse.com/2009/01/05/top-10-signs-of-evolution-in-modern-man/