Goals- or more appropriately- The Lack Thereof

Am I the only one who doesn't set goals? It's all around me. This weird "pressure" to have some sort of "goal." In my latest job interviews I got asked what my goals were and I said "To build a life in this city." And one woman asked me "So, you just came up here not knowing what you were going to do?" and I said, "Well yes pretty much." She seemed pleased enough with that answer, so the interview moved on. Anyway this is not about that interview, that is just one example.
On T.V. , in books, from random strangers, in school, in collge, at jobs, on fliers, on advertisements, it's always about "what are your goals" or "change your life today!" Well I have NEVER set goals. I grew up Mormon and the superiors were always telling us to set goals, long and short term to better prepare for a good life. While I saw the point, I would go home and sit down and try to make a goal and could NEVER come up with any. I tried to think recently what my goals are currently, and I just don't have any. My life boils to one basic point. STRIVE TO BE HAPPY. And if I can do that, well, then I've reached my 'goal' right?
Easier said than done. I know that I am such a small speck in the grand scheme of life; on this whole planet my own problems seem to be nothing compared to what others have to deal with; HOWEVER minute they seem, they still exist. My anger, sadness, pain, depression, it exists even knowing it's worth NOTHING. And there-in lies the mental fucked-up-ness of it all. How do I get rid of it? Why do I feel worthless? I exist. I am human. I am. Pinpointing my self-doubt could take the rest of my life and I still don't think I would understand exactly where it comes from. Maybe I need to focus rather on ways to recognize it so I don't freak out when those moments happen. Maybe I need to "take the plan and spin it sideways" (in the words of a Placebo song). Maybe I need to just admit to the world that I am totally OK and doing just fine even though I don't make goals.
Anyway, just wondering, does anyone else out there feel as if they ALSO don't make goals and are doing OK?