Although an apparently 'civilised' species, man still retains a large number of defence mechanisms, which are so dormant, that we don't recognise their signals. Happily, through lack of use,our 'fight or flight' receptors only function occasionally, in response to a sound or smell, which our brain may not interperet conciously, but which still sends a shot of adrenalin through the system, and alerts the hair folicles to contract, in anticipation of a potential injury to the skin. This results in the 'shivery' feeling, which we do not understand, and has always been passed off as the notion that a person (or in some areas, a goose - henced the phrase 'being goosed') has walked over the patch of land where you will be buried. So it's a folklore explanation for the activation of a dormant defence mechanism.