It is this section of this challenging document that gives rise to one of the most quoted sections of Thoreau's writings. Of course, this quote has been used many times in a wide range of contexts, but for me the most memorable is Robin Williams in the film The Dead Poets Society, where he uses the writings and ideas of authors such as Thoreau to challenge and inspire the boys that he teaches.
This is how Thoreau himself answers the questions implied in the title of this section of Walden:
I went to the woods because I wished to live deliberately, to front only the essential facts of life, and see if I could not learn what it had to teach, and not, when I came to die, discover that I had not lived. I did not wish to live what was not life, living is so dear; nor did I wish to practice resignation, unless it was quite necessary. I wanted to live deep and suck out all the marrow of life...
Thoreau therefore here declares that he lived in the woods. He chose to live there because he needed to be close to Nature to get rid of all the distractions that society gives you and, by implication, prevents you from living in a way that is "deliberate" and "meaningful." This quote indicates the celebratory nature of the life Thoreau is trying to live - he wants to live it to the absolute full and not hold back in his living.