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.
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.
Which answers Trevor’s initial question.