Themes are the underlying messages and threads that run through the game. A theme can be something as simple as a genre or subgenre such as horror, or it can talk to a type of conflict such as the narrative themes of "man against
A game running themes of 'Dark Horror', 'Intrigue', and 'Man Against Monstrosities' is going to play very differently and have different characters than a game running themes of 'Super Heroics', 'Survival', and 'Man vs. Nature' is going to have.
If you are feeling people out for a game they want to play, getting insight into the themes they are looking to play can help. If you have a game you are ready to run and are looking for players, having themes to tell potential players can give them an idea if the game is for them or not.
Once you have themes, keep them visible and in mind when planning things. What themes does the NPCs your placing bring into play? What themes run central in the story arc? What themes are more subtle in the background? They help give direction, focus, and flow. Needed? Not even a little. Helpful? Very much so.
And while I admit they may not be needed, I've seen more than one game fall apart because either players didn't build characters for the themes of the game or the GM lost track of the themes and a game that started about survival, intrigue, and horror became about action, adventure, and the battle of good vs evil. Perfectly fine themes to have in the game, yes, but if you try to run Star Wars when everyone is showing up to play Birthright Cthulu edition....you're going to have a weird time.
Goals are exactly as they sound. They are your goals for the game. Having a list of goals at the beginning of the game gives you a way to judge how well you executed on the game at the end. They can be discussed with the players or kept private. I find doing goals firsts helps. My goals inform the themes likely to come up. For example, if I have a goal to have "Political decisions front and center" then my game is going to have themes of intrigue in it at the very least.
Goals are also a good way to write down our challenges for ourselves. My natural GMing style is to stray away from the supernatural, mysticism, and intrigue. I have complex characters at times, but the involvement of a 'god' in a game I run is not going to be the god, but rather agents of the god. The plan not necessarily that of the god, or involving the god, but of the mortal claiming the allegiance. My last D&D game ended with the PCs fighting Death Knights on the Moon, but the 'death knight' and 'moon' were just dressing on individuals who had amassed power and were in opposition to the PCs for their own reasons.
Goals don't have to be for big things in the campaign either. Small goals are also good. "More character moments." "Two lines of description for every scene." "Establish details for all 5 senses" are all wonderful, smaller goals that can help you in your session prep and in running the game to focus on smaller things that you want to be part of your game.
Goals & Pacing
Goals can also be a way to make an outline of pacing for yourself. For example, in the previous D&D game with several players talking about wanting a base of operations I set a goal for myself for the PCs to have the location around level 5, and to have the funds to have it up and running by level 10. These goals gave me two things: one, a thing to aim for and keep in mind when establishing how the story was going and what rewards were coming up. Two, a deadline for when they had to amass a certain amount of stuff so we could go on to what would be the 'rest of the game' so to speak.
Setting goals is a good thing. It has many uses.