Hi ellelou!
That is something we inherited from our animal ancestors. It was useful to them as they’re hair would stand up when threatened. Many animals still use this as means of protection like a cat and a dog for example. The elevated hair, together with the arched back and the sideward position the animal often assumes, makes the cat appear bigger in an attempt to make the dog back off.
It’s a neurological response to some external stimulus, such as being cold or scared, which makes you hair follicles respond and thus your skin go pimply 😉
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