Interesting! I haven't seen anyone able to do this deliberately.
Goose bumps are caused by the tiny muscles at the base of hair follicles contracting, and the hair stands up. The skin around it puckers. It's mediated by the sympathetic nervous system (the "fight-or-flight" aspect of the system). This is how animals' fur stands up when afraid or upset (think of a scared cat).
It's called the pilomotor reflex. It also helps them keep warm (fur insulates) - so it happens when we're cold too. But since we have so few hairs, it's not very useful to us. It's more of a vestigial reflex than anything.
It happens for other reasons too. See the wikipedia article, it's a good place to start. For more info, look at this article or a medical textbook.
If you can do it at will, you likely are in tune fairly well with your sympathetic nervous system. That's excellent. You may be able to make minor alterations in your pulse and blood pressure through breathing regulation - check out the concept of biofeedback. It is a way to help manage stress, keep yourself calm in terrible situations, manage anxiety or panic disorders, anger management.....
Being able to use physical self-awareness to affect physiological changes takes practice to develop as a skill. You've got a great start!