Goosebumps occur on our skin in a reaction to cold, fear, shock and sometime due to sense of nostalgia or something awe-inspiring. The bumps are created when muscles at the base of the hair contract and cause the hair to stand straight up. It is a sympathetic nervous symptom reaction which is linked to the flight-or-flight response.
The piloerection, or goose bump, has lost it original function in humans which was to create insulation using body hair. In animals goosebumps appear when the flight-or-fight response is activated; the hair rises and the animal can appear bigger to predators.
While we know what goosebumps are, we don't know why they have such a strange name. When feathers are pulled from a goose it leaves a bumpy flesh behind, but so do most birds. Additionally, numerous languages use the fowl to describe the bumps; it's a mystery as to why goose is used in German, Italian, Russian, Polish and many other languages.
There is also the phrase 'bitten by a winchester goose' which was used to describe syphilis in the 16th century and to identify where prostitues congregated in London, but this does not explain why it's used in other languages. The world may never know.