You have already answered your own question! As you already know, fear
and temperature both have strong effects on piloerection (goosebumps)
through autonomic nervous systems feedback systems. These are mediated
like other emotion-linked autonomic reflexes by routing through the limbic
system. These other emotion-linked autonomic reflexes include blushing,
blanching, butterflies in the stomach.
The limbic system is the site of primitive drives: sex, fear, rage,
aggression and hunger. Anatomical sites for the limbic system include
amygdala, parahippocampal gyrus, uncus, subcallosal gyrus, cingulate gyrus,
fornix, dentate gyrus, hypothalamus and hippocampus. These are found
around a major structure called the thalamus which receives virtually
all sensory input. The medial forebrain bundle is a bidirectional
communication with the brainstem which then directly mediates autonomic
reflexes. A second method of invoking the autonomic reflexes is through
the hypothalamus which also sends nerve projections to the brainstem.
Specifically, direct stimulation of the amygdala and hypothalamus evokes
the piloerection pathway. It's in these physical structures that emotional
stimulation by music or the reading of poetry, etc. can result in
piloerection.
BTW, the hippocampus is also involved in learning and memory, suggesting
the importance of emotions on learning and the reason why background music
can help with learning.
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