In the fairy story, in the bears' home, Goldilocks tastes three bowls of porridge. One is too hot, one is too cold, and one is just right.
The 'Goldilocks' zone around a star, such as our Sun, is the zone where water on a planet will be liquid. Too close to the sun, and the star's heat will boil the water away; too far, and the water will be frozen ice. We assume that liquid water is essential for life as we know it, so we hunt for planets around the Goldilocks zones of their stars.
Does this mean that a planet in the Goldilocks Zone will certainly have life in the way Earth has life, including creatures with complex brains who can think? Not in the least! The processes of chemistry suggest that such a world may well have microbes, but not necessarily anything more complicated. The existence of life today on Earth is like winning a lottery twenty times over. Just for instance, we have a giant moon, which stabilises the tilt of the Earth (at about 23 degrees). Without this stability, we might have Summers when our seas boil, or Winters when the whole Earth freezes. The likelihood of such a moon seems very low—and this is only one of the lotteries that have to be to be won. Rare Earth by Peter Ward & Donald Brownlee, published in 2000, details many other lotteries. In fact the unlikelihood of complex life on Earth is considerable. It even seems plausible that micro-organisms first evolved on Mars billions of years ago when conditions on Mars were less hostile than now, to be blasted into space within a rock by an asteroid impact, falling to Earth many years later—yet another level of lottery!
The universe contains billions of galaxies which each contains billions of stars, consequently some planet somewhere is likely to win all the lotteries. Complex life might indeed also evolve elsewhere than Earth, but the nearest ETs might be so far away that we could never know that they exist, or did exist in the past. So much for flying saucers.
Warm water and some sort of life may also exist within some of the moons of the giant worlds of our own solar sytem, Jupiter and Saturn. Far from the Sun, these worlds of gas and their solid moons are very cold; but, as the moons orbit the gasgiants, the gravity of Jupiter and Saturn, very much stronger than Earth's gravity, constantly pulls at the insides of the moons, causing heat which can maintain oceans of warm water under the crusts of ice many kilometres thick. If intelligent life evolved in those oceans, it could probably never know that beyond the thick ceilings of ice there is a distant Sun and other worlds and stars—unless we go there and drill a borehole 50 or 100 kilometres deep, which we may indeed do. But imagine explaining cosmology to an alien squid, intelligent in its own way.
Really, we are all very unlikely to exist (merely not impossible). So we should enjoy life, and beer, and trying to understand the universe, while we can. People sometimes say they wish they'd been born elsewhere or elsewhen, but this is nonsense. Even with exactly the same DNA (astronomically unlikely) you yourself would become quite a different person if born a few hundred years ago in London, or a hundred years from now. You are here, you are now.
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