I have to give you credit; this is a very intelligent discussion you have created. I feel that in life, we go from one place to the next. Whether this is getting to the grocery store and getting home quick enough to make dinner for the family or saving up for a vacation; everything we do in life is goal oriented.
Don't get me wrong, you should not think of everything you do as a goal, or else your head will explode from trying to out-do others and yourself. This is what will make you unhappy.
Instead, what I am doing is of course keeping goals, but my destination is not what I am most happy about, it is the journey! Live in the moment, take in a deep breath and smell the aromas! When you go on a jog, instead of worrying about finishing, learn to enjoy the sights and sounds! This can apply to anything you are doing, and trust me it will make your life more enjoyable!
So to end, it is not goals that make us unhappy but rather it is not living in the moment!