A goose rump is when the back of the horse slopes dramatically downwards behind the hip. Horses have a joint between the lumbar spine and the sacral spine, the angle of which varies.
A goose rump is mostly considered a fault, but some angulation of the lumbosacral joint is desirable in jumping horses as it allows them to bring their hind quarters further under them.
For this reason, goose rumps are more commonly seen in Thoroughbreds and sport horses.
This grey has a bit of a goose rump (exaggerated slightly by the "rested" hind leg).