Arrector pili.

Arrector pili are a bundle of smooth muscle cells that extend from the papillary layer of the dermis to the connective tissue sheath surrounding the hair follicle. When stimulated, the arrector pili muscle contracts, pulling on the follicle and forcing the hair to stand erect.
WHEN YOU GET SCARED YOUR ARRECTOR PILIS DO THEIR JOB AND MAKE YOUR HAIR STAND ON END.