Yes, you should.
For some reason, Q1 of 2011 has turned out to be a long conversation about goal setting for me. I'm talking to my management team about it, I'm introducing it to our company, I'm talking to candidates about their goals (or lack thereof), and I'm talking to my former colleagues about their career aspirations, and you guessed it, their career goals. Then there are the discussion with my wife about the goals for her forthcoming book and writing career, and the discussion with my Boy Scout Troop about goals surrounding the inevitable leadership transition. Goals, goals, goals!
Most people get that they need to set goals. But... they get turned off by all the focus on business-only goals. For those people, a great post from SideWise Thinking on goal selection. Hopefully, it will open a few mental doors regarding your potential futures!