The OED provides one early definition from 1656:
“Horripilation, the standing up of the hair for fear..a sudden quaking, shuddering or shivering.” Glossographia, Thomas Blount.
The word originates from the Latin horrere meaning (of hair) ‘to stand on end’ and pilus meaning ‘hair’. Horrere also means ‘to tremble’ or ‘dread’.
Something that causes this reaction is described as horripilant. Horripilate is the form meaning ‘to undergo or to cause horripilation’.