Not really the MOST CONVINCING evidence, but it is an easy one to see and read.
When I get cold and get goosebumps its obvious, to me, that it is an instict that evolved from an ancestor that had denser fur than I do. It doesn't even do anything to make me warmer because my hairs are so thin and spread out. I can see how it would've worked for them, though. Why would god create goosebumps in humans if it doesn't do anything?