In our family, my athletic pursuit is Ironman triathlons. To this end, I've signed up for the one in New York, July 25, 2010. Other than the costs involved in racing, the goal doesn't conflict with the overall family goal. In some ways, it could be viewed as complimentary (improving my strength in swimming for example.... swimming 2.4 miles is a long way!).
Having individual goals also lets each member see the power in setting a goal, putting together a plan, and following it. With each person's individual accomplishment, every family member is reminded of the power of goal setting making it easier to stay focused on the bigger family one.