This is a result of an emotional response to the music. Goosebumps form at the base of a hair, where the hair sticks out from the skin. When hairy animals are scared they look bigger, and this would have applied to us when we were much hairier animals. This is because all the hairs stand on end - they are lifted by muscles called erector muscles - piloerection is the term for hair standing on end. When you're scared, or have an emotional response to something, these muscles make your hair stand on end - making you look bigger and reducing heat loss by trapping more air. This is controlled by a region of the brain called the hypothalamus, which controls the sympathetic nervous system - the part involved in the 'fight or flight' response. If you are threatened, you need to look bigger to scare off an opponent, and also look redder, as this suggests more testosterone and more anger.

So when a piece of music excites you, your hypothalamus can respond by exercising the fight or flight response, and so you get goose bumps!