I use goals quite a bit and I find them very helpful for getting things done. I will most often write my goals down. If I don't I find there is much less of a chance that I will actually fulfill them.
Short term goals sort of merge into being the same thing as my to-do list. Small items, and I cross them out when I am done. Medium term goals I will write down what I want to get done in the upcoming weeks. I don't write very much for each thing.
For long term goals I will sometimes write down more. It is more like a plan for the future. I like to write what I want to do along with some of the reasoning behind it. View it as a personal manifesto. Long-term planning doesn't have to happen very often, so it is worthwhile to make sure you flesh it out. Usually I will be thinking about my long term plans in my head for a while and then when I am happy with my thoughts I will write it out. I like to write such things into my weblog. I find that shouting my plans to the world (or a small portion of it) ensures that I will only write down plans that I am really serious about doing.