I don't think goals per se make us unhappy - I think having unrealistic goals or as Perna says goals not aligned with your values, based on what you think society says you should be doing, can make you unhappy.

Personally I find goals very motivating - I like having something to work towards. But to me a Goal must be

Specific
Measureable
Attainable
Realistic
have a Time frame.

I have goals around how well I want to do in school. I have goals around therapy. I have goals for my knitting. I have goals for my music. I have a goal about finding another job.

These goals all motivate me, and making progress towards these goals, gives me a sense of accomplishment.

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