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.