I've always been very concerned with the concept of what constitutes a good life. Having good goals is difficult enough, but actually achieving them is at least several levels of difficulty above that. The way I see it, there are two primary kinds of optimization that help to achieve goals. One is highly personal, building up the patterns of thought, behavior and action that lead to a greater capability for growth. However, this is not enough. We are both limited and empowered by our environment, by the people and situations around us. Even the brightest person cannot grow in a vacuum, and the good a single person can do unaided is extremely limited. Thus becoming extraordinarily adept at both aspects of optimization is vital, and being acutely aware of the ways they play off of each other is a huge part of that.
The two best resources I can think of for individual optimization are the posts and sequences on less wrong and economics, particularly Austrian Economics. The tools of rationality and meta-cognition on less wrong can work wonders for anyone if well understood and practiced. Seriously, it's brilliant stuff. Economics studies the most efficient use of scarce resources and thus is obviously going to be useful for optimization. The Austrian School is a goldmine for individual optimization, because the focus is entirely on how individuals make decisions to best achieve their goals. Mises called the science of human action "praxeology". Combining an understanding of praxeology with the knowledge of epistemology, rationality, and biases on less wrong gives you the analytical capabilities to really make some progress on optimizing your life and attaining your goals.
Optimizing everything around you is in many ways more challenging than merely optimizing yourself. Some things simply can't be changed, or would require more effort than it's worth to be changed. Recognize these things and let them be. Wu-wei is your friend. When you are building yourself, being smart about things matters, but raw focus and determination will probably bear the brunt of the work. However, when dealing with the outside world, particularly social situations, it is necessary to be more clever. Communication theory and practice is always helpful. You can also study cases of success in whatever area will help with achieving your goals. For example, I read biographies of great economists that focus on the factors that contributed to the development of their ideas. I also read things on the sociology of intellectuals.
Reflection is absolutely crucial the entire time you are on this endeavor. If you aren't lucidly aware of your own mental state and abilities, don't know what is happening in the world around you that affects you, and don't carefully consider the options available to you, failure is pretty much guaranteed. In fact, despite any pleasant reassurances, failure is the norm even if you do all those things. Think about it, how many people really, truly, absolutely achieve their goals? Quite possibly none. How many come close? Very few. True success is not only hard, it's perhaps the most difficult thing in the universe.
If at this point you are ready to give up your goals, do so. Because if you are ready to give them up they didn't really mean anything to you anyway. If they really matter, it doesn't matter how hard they are to achieve. It doesn't matter if the probability of success is only a shade above zero. There are goals like that. Ones that matter that much, and if you don't have one yet I suggest you start searching.
Subgoals are fluid. They change based on probabilities. If your goal is to help everyone, you might think the best plan is to go to Africa. It might turn out that going to Russia actually has a greater probability of helping people so you recalibrate your subgoal to go there. On further reflection, it might be more effective to become a CPA, work a standard desk job, and donate all your spare income to good charities. The point is that regardless of the subgoals that most effectively optimize for your main goal, your main goal is not going to change. Even if people tell you that there's a 0.00001% chance of helping everyone, you're still going to try. Otherwise that goal is not your true main goal, just a really important subgoal.
So for people who have goals that truly matter, the fact that they are almost impossible to achieve only means that more effort should be put into doing so. Every applicable resource, every ounce of intelligence and effort, every single conscious moment will be put towards increasing that sliver of probability, and the smaller it is the more herculean the effort will be. They will optimize like their life depends upon it. This post should be beneficial to anyone, but it is to those who really have something that matters to them that I hope it proves most useful.