Horripilation is the rising of the hairs on the skin caused by cold, or sometimes fear. It is the bristling that accompanies goosebumps. Horreo in Latin meant to bristle or stand on end. So horripilation is the direct descendant whilst horrible is a changeling child that, like petrified, refers merely to the effects of fear.
Incidentally, the creeps, as in "That picture gives me the creeps", was first recorded, and perhaps invented by, Dickens, along with mooreeffoc.
P.S. There's an excellent piece on the etymology of brass monkeys here.