Arrector pili mm.

The arrector pili muscles are small muscles attached to hair follicles in mammals. Contraction of these muscles causes the hairs to stand on end (known colloquially as goose bumps). 

Each arrector pili is composed of a bundle of smooth muscle fibers which attach to several follicles (a follicular unit), and is innervated by the sympathetic branch of the autonomic nervous system. The contraction of the muscle is therefore involuntary -- stresses such as cold, fear etc. may stimulate the sympathetic nervous system and thus cause contraction, but the muscle is not under conscious control.