I'm having trouble setting goals for myself. It seems in Minecraft the goals you set for yourself happen by themselves (building something, a lot of the time, finding nice locales to build into, exploration). In this though I'm not too sure, I guess... Upgrade my stuff?
Ideas for Goals:
1. Attract all the NPCs to a location. In other words, build a city somewhere
2. Build spawn points at all interesting locations that you find.
3. Build a causeway covering most of the map to make travel quicker.
4. Explore Corruption and awaken and kill all the boss worms.
5. Upgrade your stuff to complete sets of armor.
6. Explore to the lava level.
7. Mine 20 obsidian and craft an obsidian skull.
8. Level up your Hearts to 10.
9. Level up your Mana to 10.
10. Kill Skeletron.
11. Build a pink castle out of Dungeon bricks.
12. Explore the Dungeon.
13. Dig out the desert and rebuild it in glass.
14. Travel to both edges of the map.
15. Find a floating island and build a castle in it.
16. Start a 'shroom farm
17. Find and explore the underground jungle. Find/Craft all the stuff you can from it. E.g. Blade of Grass.
18. Craft a Nightmare Pick (which requires killing lots of bosses for ore drops), then dig up enough Hellstone to make a Hellstone set.
My actual game#1 goals have been:
1. Build a NPC city on the starting spawn.
2. explore to the east edge and explore the ocean at the edge (found some unique goodies like flippers).
3. Build safehouse spawn points at places of interest (Corruption, Dungeon, near a meteorite fall in Corruption).
4. Build a castle for killing all the Eater of World bosses that I awoke in corruption. It's basically kind a long horizontal hall and several vertical levels with wood ramps so I can jump quickly around without getting hit, but still take sword wacks at the boss.
5. Mine meteorites in Corruption (this was very challenging).
6. Build a horizontal causeway to make travel easier (not quite done, but a little does help a lot).
7. Collect 20 obsidian to make an obsidian skull.
8. Tunnel down to hellstone region and fool around (still can't actually pick at the ore yet, but I collected some bricks).
9. Annoy Skeletron then die; try to break into the dungeon and steal without killing Skeletron (impossible, even if you remove the back walls).
10. Collect a silver set of armor; get all gold tools.
12. Found a musket, then bought a pistol.