$GOPATH is an environment variable which points to a directory where the downloaded and your own Go files are stored.
On Windows, it's in: %USERPROFILE%\go
On OS X & Linux, it's in: ~/go
NOTE: Never set your GOPATH manually. It's by default under your users directory.
GOPATH has 3 directories:
src: Contains the source files for your own or other downloaded packages. You can build and run programs while in a program directory under this directory.
pkg: Contains compiled package files. Go uses this to make the builds (compilation & linking) faster.
bin: Contains compiled and executable Go programs. When you call go install on a program directory, Go will put the executable under this folder.
You might want to add this to your PATH environment variable if it's not there already.