Why Goals Suck!
You can't know where you're going without good goals. However, I just want to mention one aspect of training goals that you may not have considered: your goals can limit you. You should set that goal out there, not to work toward, but to smash. Too many times, I've heard people say, "My goal is to bench 300 pounds." Then when they finally get there, they could have done so much more.
I've always been taught to break my PR by five pounds on my second attempt (in a powerlifting meet you get three attempts), and go for broke on my third. It's also why when I was dieting for fat loss, I also set a timetable based on a number of weeks. If I reached my desired percent bodyfat early, I keep going. If I didn't reach it in time, I shut it down for another cycle.
I also suggest when setting goals is to keep your goal specific to yourself and a select few, and general to all others. In other words, if your goal is to bench 400 pounds, keep that as a marker in your mind, but if others ask just tell them, "I'm training for a bigger bench," or "I'm working toward a new PR." Your goal may be to get your bodyfat down to 6%, but all the masses need to know is, "I'm dieting right now."
The reason for this is simple: 90% of everyone you meet are negative pricks who will go out of their way to tell you why you can't do something. Once they know your goal, they'll try and tear you down. Just keep it vague, and all they can do is wish you success.
Of course, they may still try and tear you down once you've actually accomplished your goal, but who cares. You've done the work and have the results to show for it. They couldn't have done it. So f*ck 'em.
I do feel it's important to still put the goal out there to make you accountable, but I'd only tell those who know you can do it and will hold you accountable. Take a good look at the people around you, and consider yourself lucky if you know even a small handful of people like this. But all you really need is one: you.
One last note on PR's. Make sure to strive for what I call "real" PR's. These are the ones you have to bust your ass to get like a new one rep max, max reps with 225, a lower body fat level, etc. Something that takes time and effort to accomplish. Something that says you really got better and didn't just have a good day. When you break a record on an accessory lift, perform a triple when you did a double last time, get 9 reps instead of 8 - these would be what I call a good day, progress and something that is supposed to happen. A PR should be sacred territory that actually takes some balls and means something. If you are hitting them every workout then I would suggest upping the anti a bit and go after something more challenging.