Here's my question. Why do I get "goose bumps" if I am cold or excited listening to a nice piece of music or if I am scared? Is there a relation between all of them?

I am sure that you'll get a more detailed (and accurate) explanation from some members who know physiology far better than I do, but the simple reasons are these:

Goose bumps when cold - muscles contracting, shivering at times, in an attempt to keep warm. Also, back when humans had a great deal more body hair. the goose bumps fluffed up the hair, giving it more insulating properties.

Goose bumps when scared or excited (the physical reactions are almost identical) - Again, fluffed out hair, which makes one look larger. I forget which bear it is, black or brown, that the best defense for a human is to make oneself look as large as possible. (Unfortunately, that is exactly the wrong thing to do for the other species of bear.) Adrenaline will also contract the skin and raise the blood pressure. Together, those two actions will certainly cause goose bumps.

Basically, goose bumps are physical reactions that, for the most part, we no longer need, just as your dog really doesn't need to circle the spot he intends to lie down in when it is just your rug. He doesn't need to trample the grass down, but he does it anyway.

I think DG already hit the high points of piloerection, the contraction of tiny arrectores pilorum muscles in the skin that promotes heat conservation and serves as a defensive mechanism (think porcupines!) in mammals. In humans it is a useless vestige of our hairy ancestors (like my uncle Morris ). Much the same info can be found at Wikipedia and The Straight Dope.

DG: I was wondering why my sister's cat circles before sitting. You gave the scientific explanation.

Not being a cat person, I really don't know that the same reason holds true for cats, but I do know about dogs, and it does make sense that cats would do the same.