Well the goose bump analogy is true to an extent- when someone has goose bumps they will almost certainly have erect nipples at the same time. This is true even for guys. But then nipples will erect for reasons other than cold, which goose bumps won't.
OK, Bayko is going to tell me that goose bumps can also be caused by fright. It's a vestigial reflex from animals who fluff up their fur to appear larger and more formidable to predators.