Directs your Attention
Many things in life compete for your attention, e.g., TV, internet, movies, hanging out with friends, etc, etc. Throughout any given day you need to decide how best to spend your time.
Goal setting is a method that outlines the priorities in your life. It will direct your attention towards behaving in ways that help you accomplish your goals, and away from the behaviours that do not.
For example, if you set a goal to improve at darts, your attention will be directed towards behaviours that will help you improve, like spending more time practising. You will be more likely to avoid or spend less time on unhelpful behaviours such as watching television, or the likes.
World class athletes tend to base all their waking decisions on how it may affect the obtainment of their goal. These decisions are obviously easier to make when you have the framework of a goal to focus on.