In what is probably the most famous passage in the book, Thoreau explains his reason for living by Walden Pond:
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.
He goes on to say, famously, that he went to the woods to "suck the marrow out of life."
In other words, Thoreau does not go to the woods to escape life or avoid reality. Instead, he is trying to throw off everything that is superfluous or unnecessary to finding the core truths of life. These nonessentials include the accretion of material goods and obligations and social necessities that he feels are separating him from the meaning of life. He fears his life in nineteenth-century Concord is merely a form of existence, of going through the motions, not the essence of what it is to be truly alive.
What is life, really, when you strip away all the extras, he asks? His time living in the simplest possible way at Walden Pond is his experiment in answering that question.
Thoreau says he doesn't care what he discovers life is at its core as long as he can discover it. He doesn't want to waste his time going through the shadowy motions of living and then feel regret as his death that he never really experienced life fully. He wishes to learn all that life has to teach him.
The power of the book is that it addresses directly a core question that many people have: How do we live in the best, fullest, most vital way? What do we really need, and what gets in the way of living fully?