Something frightening.

This is first found in Shakespeare's Hamlet, 1603:

"I could a tale unfold, whose lightest word would harrow up thy soul, freeze thy young blood, make thy two eyes, like stars, start from their spheres, thy knotted and combined locks to part and each particular hair to stand an end, like quills upon the fretful porpentine."

Shakespeare conjured up many images in his works; few though an have been more vivid than the mental picture of a fretful porcupine.

The allusion of makes your hair stand on end is to the actual sensation of hairs, especially those on the neck, standing upright when the skin contracts due to cold or to fear. This is otherwise known as 'goose-flesh' and the condition is, or rather was, known by the entirely splendid word horripilation. This was defined by Thomas Blount in his equally splendidly named book Glossographia, or a dictionary interpreting such hard words as are now used, 1656:

"Horripilation, the standing up of the hair for fear... a sudden quaking, shuddering or shivering."