These are also known as "hair muscles". These are tiny muslces that are attached to the hair shaft. These muscles cause the hair to stand up or be erect. When the Arrector Pili muscles contract due to stress, fear or other nervous conditions, the hair becomes stiff and will actually "stand on end".
Daily Hair Tip
If you set your hair on hot rollers, always wait until the rollers have cooled completely before taking them out of your hair.