Whenever we have "goosebumps", there is a momentary piloerection, due to which hair on our elbows and legs get "erected" and "stand" almost perpendicular to the surface of our skin. But why do our "head hair" not get erected ?
Piloerection of head hair does happen as often as it occurs elsewhere on the body, but head hair length tends to make it difficult to see. Close observation, especially with short hair, should make it visible.
Piloerection of head hair is something more commonly felt by the person it is happening to rather than seen by others (or in mirrors); when you get that "goose-bump" sensation across your scalp, that will be due to pilo-erection.