There's a lot of ways to classify these things, but the idea is to figure out what you are trying to accomplish, and how you'll know it when you do.
There's also a lot of tools, tricks, instructions, and procedures on how to craft them, what they mean, and how to use them.
Here's one from Entrepreneur, for example.
I think it's important to capture your vision - write it down somewhere - and then refer to it periodically as you work. This is especially handy when you are doing a side-project, for reasons I'll get into momentarily.
For purposes of this post, I'm going to say "Goal", which will encapsulate objective, vision, and mission statement into one broad concept. In actual "business" terms, these are different things but I like to keep things simple and practical. (Not that those definitions aren't useful, but, there's no need to complicate matters).
What is a goal?
I think we all know what a goal is. I just want to add that I think a good goal is something that is:
1. challenging yet still realistic
You can have goals for all kinds of things. I think it's a good idea to have a goal for each game design you are working on, for example. I also think it's a must for any organizational or business planning activity. It's absolutely something you need to have completely figured out before asking anyone for any type of start-up capital or launching a crowdfunding project.
You can have several goals; one for each design project, and one for your "overall goal", each having a different level of specificity. You can have broad goals that you define over time. Do whatever works for you, just have something captured that you can refer to.
A goal could be "to publish a game with a publisher in 3 years", "to design a game and crowdfund it in 3 years", or even just something like "to design the perfect dungeon crawl game for my friends in 3 years".
Even with just those 3 examples, I hope you can see how stating the goal can drastically change your approach, behavior, and even willingness to invest resources (your time and money).
What's so important about a goal?
1. it will help focus your time and resources
2. it will help you make decisions
3. it will help you finish tasks
We're all time-constrained. Especially when working on side-projects. And for you game designers out there, unfortunately you are designing games, planning crowdfunding projects, launching publishing companies, etc in addition to having a full time job.
Coming up with a goal and posting it in your workspace will help you focus your valuable free time. Ignore things that aren't substiantially related to accomplishing that goal. It will also help you make financial decisions. Sometimes spending money to make a slick prototype will help attract playtesters, which in turn will help you make your deadline to demo it at your local game convention, for example.
When you come up with ideas, activities, or are presented with challenges to your project, think about them in terms of how they will help you complete this goal - or not.
If they help, or are directly related to accomplishing your goal, then those are your priorities for the project.
If not, write them down in a notebook or "idea document", and leave them there for now. They're a distraction.
Do the same thing with your decisions. Approach your project decisions within the context of how they will help you accomplish your goal or not.
Finally, having a tangible goal will help you stay disciplined. If you're results-oriented, like me, seeing regular progress (checking things off a to-do list, for example) has an amazingly positive impact on any project, and boosts your motivation.
And for all of us creative types, where getting past that "creative/motivational/depressionist" rut is huge, having a goal hanging on your wall, and a sheet of checked-off items, is very powerful. Try it sometime.
Brain power - or, if you can dream it, you can do it
You've probably heard that if you want to accomplish something, just "set your mind to it". I think that deciding upon a goal, keeping it in your mind, and acting upon it, is a much more powerful tool than most of us may realize.
Many people create just for the fun of creating. Others create for fun, then decide to take it more seriously. At a certain point having a defined goal matters. Try it. I think you'll like it.