If you don’t have a clear idea of what end-state you want your endeavors to leave you at, you will find that you are chasing many different objectives and achieving none of them. Having goals means that you have a metric for your progress that is demonstrable and helpful, letting you know exactly how far you’ve come and what still remains to be done.
For large, open, relatively self-directed games such as MMORTSes, this is especially important. These games give you some feedback about how well you’re doing, but if you don’t have your own personal goals to strive for, you will find it hard to tell if you’re progressing as a gamer or simply wasting your time.
Setting any old goal is not necessarily a helpful proposition. Bad objectives can be as bad, or worse, than having no goal at all. Your objectives need to be sufficiently challenging to count as a “goal,” yet be realistically achievable. A goal that is too easy won’t feel like an accomplishment and won’t provide you with substantial direction and motivation.
A goal that is too hard will leave you frustrated, demotivated and without a clear set of tasks. Your goal should have a clearly-defined condition for success: “I want to become the best warlord in my sector” is a worthy aspiration, but it is very hard to achieve and, furthermore, difficult to prove that you’ve achieved it.
You might think yourself top dog and become complacent only to realize that you misjudged your strength. A better goal would be, “I want to have at least one-hundred more troops than any of my neighbors”: it's something that you can mathematically determine, and something for which you can reliably check your progress any time you like.
The best objectives have clear, quantifiable metrics for success that you can look at to compare your progress. If you have a large, nebulous objective (“Become the best”), break it down into smaller sub-goals that are easier to achieve and easier to quantify. (To “Become the best,” you could give yourself goals like “Increase resource production by 25%” and “Produce 50 new units.”)
Good luck !