Something that makes your hair stand on end is something alarming or frightening.

The phrase ‘make your hair stand on end’ is first found in Shakespeare’s Hamlet, 1602:

“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.”