Sometimes when I'm working with a client they are so eager to jump right into goal setting that they want to skip over discussing their company's vision. My question then becomes "How can you set goals when you don't know who you are or where you're going?"
When you work through establishing your vision you should have defined core values, a core purpose, as well as a vision of where you want your company to be in the future. Your vision should paint a clear picture of where you are going, otherwise you won't know when you've reached that place.
Vision is not to be confused with strategy and how you are going to grow. It should provide a road map to give direction on where the company is going. Once that's established you can then chose the strategies you are going to undertake to reach that vision.
It is important to "live" it everyday, in every decision. If your vision is to be the best home builder in the regional area, you wouldn't want to take a job building a commercial skyscraper. It should also guide you in decision making, be challenging, and inspiring.