In addition to the spiritual motives described by sullymonster, Thoreau had social and political motives for moving to a cabin in the woods. In choosing a "simple life" in the woods, Thoreau was proving a point, demonstrating the notion that capitalism (and its attendant materialism) can be successfully escaped.
“Rather than love, than money, than fame, give me truth.”
A life of capitalism in the sense that capital is a necessary cornerstone of social intercourse, is shown to be just one way to live, not the only way to live. Such a statement can be seen as reactionary or progressive depending on your point of view.
Reading Walden as a social-political commentary adds an additional layer of meaning to the work's more spiritual dimensions. To understand Thoreau's intentions fully, we should read his book as a statement on the interconnections of social values and spiritual values/spiritual life.
"Thoreau argues [...] materialistic values indicate not enterprise but a basic lack of spiritual self-reliance" (eNotes).
So, what is important to life according to Walden? A willingness to live without the crutch of capitalism - or to go beyond materialistic dependencies - is important if one is to achieve a spiritual self-reliance and sense of unity with/in nature.
Thoreau's quote, "Simplicity, simplicity, simplicity", sums it up. Thoreau believed that to live life to its fullest, people needed to simplify, to get rid of unnecessary material possessions and even unnecessary socializing. This way, a person would be able to better connect with the universe around him and learn the secrets of existence.
To achieve this goal, Thoreau left his home in town and moved to a cabin on Walden Pond. He "went to the woods because [he] wished to live deliberately". Thoreau believed that all humans were a part of nature, and so they should live in nature, growing their own food and interacting with the water, trees, soil. By doing so, a person could become a part of the cirlce of life (insert Lion King joke here). These theories of Thoreau were associated with the Romantic movement of Transcendentalism.
Thoreau is a Transcendentalist author. The best way to describe them is to more or less say that they are extreme Romanticism authors. Romanticism is a literary time period and genre that has some key features to it. Carpe diem, emotion over reason, and a deep reverence to nature are all key features of romantic literature. Transcendentalists take it "one step further." Simply put, a transcendentalist believes that a person can gain special, transcendent knowledge about creation, god, faith, etc. from being close to nature.
Thoreau's Walden is his written explanation of how he spent his time living alone on the banks of Walden Pond in Condord, MA. I've been there. It's beautiful. There's even a mock up of the house that he built for himself to live in. It's a simple, small affair. And that is the key to Thoreau and Walden. Simplicity is paramount to achieving true happiness, peace, life, and transcendent knowledge. Without simplicity, it isn't possible to live life to the fullest or really be able to be an integral part of nature and man's surroundings. Thoreau best sums it up with the following lines.
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 practise resignation, unless it was quite necessary. I wanted to live deep and suck out all the marrow of life, to live so sturdily and Spartan-like as to put to rout all that was not life, to cut a broad swath and shave close, to drive life into a corner, and reduce it to its lowest terms, . . .