What makes hair stand up

I was watching a DVD set the other day. It was about sharks. This guy was swimming around with the great white sharks, and playing with them. Hanging off the dorsal fin. tickling the noses.



At one point in the show the shark he was playing with, got scared off, and the swimmer (AKA the shark man) didnt know why. All of a sudden a shark about twice the size he was playing with was curious what he was, and started to bump him.

This made my hair stand.
Why?