No, they don't have to be consciously chosen. The classic example of a simple agent is a thermostat (http://en.wikipedia.org/wiki/Intelligent_agent), which has the goal of keeping the room at a constant temperature. (Or you can say "describing the thermostat as having a goal of keeping the temperature constant is a simpler means of predicting its behaviour than describing its inner workings"). Goals are necessary but not sufficient for intelligence.
3rd May 2014: I no longer hold the ideas in this article. IsaacLewis2013 had fallen into something of an affective death spiral around 'evolution' and self-organising systems. That said, I do still hold with my statement at the time that this is 'as one interesting framework for viewing such topics'.
I've recently been reading up on some of the old ideas from cybernetics and self-organisation, in particular Miller's Living Systems theory, and writing up my thoughts on my blog.
My latest article might be of interest to LessWrongers - I write about the relationship between life, purpose, and intelligence.
My thesis is basically: