Goals are broad, generalized statements about what is to be learned. Think of them as a target to be reached, or "hit."
Cognitive objectives relate to understandings, awareness, insights (e.g., "Given a description of a planet, the student will be able to identify that planet, as demonstrated verbally or in writing." or "The student will be able to evaluate the different theories of the origin of the solar system as demonstrated by his/her ability to compare and discuss verbally or in writing the strengths and weaknesses of each theory."). This includes knowledge or information recall, comprehension or conceptual understanding, the ability to apply knowledge, the ability to analyze a situation, the ability to synthesize information from a given situation, and the ability to evaluate a given situation.
Read more on Blooms' Taxonomy of cognitive objectives.
Attitudes, appreciations, relationships (e.g., "Given the opportunity to work in a team with several people of different races, the student will demonstrate an positive increase in attitude towards non-discrimination of race, as measured by a checklist utilized/completed by non-team members.").
Read more on the affective domain.
These are Physical skills (e.g., "The student will be able to ride a two-wheel bicycle without assistance and without pause as demonstrated in gym class."); actions which demonstrate the fine motor skills such as use of precision instruments or tools, or actions which evidence gross motor skills such as the use of the body in dance or athletic performance.
Read more on the psychomotor domain.
For each course, you probably have an overall goal: what do you want the students to accomplish in this course? In addition, you should have several objectives for each major topic in your course. You can also then break each objective into several sub-objectives, and so on, to clarify specifically what students will learn.
Different levels of objectives can also be categorized according to different levels of learning that you want the students to achieve. That is, whether you want the students to remember factual information, distinguish among the concepts, apply rules/principles, or do problem solving, these expectations should be expressed as different types of objectives (Dwyer, 1991).

The above graphic (Adapted from Dwyer) shows a hierarchy of learning. In order for the students to learn concepts, they should have a basic supporting knowledge, e.g., facts. In order to problem-solve, students need to understand concepts and rules, etc.
In summary, goals and objectives guide all teaching, learning and assessment.
Dwyer, F. M.(1991). A paradigm for generating curriculum design oriented research questions in distance education. Second American Symposium Research in Distance Education, University Park, PA: Pennsylvania State University.
Heinrich, R., Molenda, M., Russell, J.D., Smaldino, S.E. (1996). Instructional Media and Technologies for Learning. Englewood Cliffs, NJ: Merrill.
Huitt, W. (2000). Bloom et al.'s taxonomy of the cognitive domain.
Retrieved May 14, 2003, from
http://chiron.valdosta.edu/whuitt/col/cogsys/bloom.html
Kizlik, B. (2003). How to write effective behavioral objectives. Boca Raton, FL: Adprima.
Retrieved May 14, 2003, from
http://www.adprima.com/objectives.htm
Lohr, L (no date).Objectives, sequencing, strategies,
Retrieved May 14, 2003, from
http://www.coe.unco.edu/LindaLohr/home/et502_cbt/Unit3/Unit3_menu.htm
SOGC Org (no date). Writing instructional objectives: The what, why how and when. Retrieved May 14, 2003, from
http://www.sogc.org/conferences/pdfs/instructionalObj.PDF [No Longer Available]