Generally you'll want to play objective cards that come into your hand. They give a bonus when played - typically small but often useful - but more importantly unless you find some other way to discard them they will clog up your hand and deprive you of potential income and better locations when you get to Kansas.
However playing them from your hand does commit you to achieving them by the end of the game - any played objectives that you do not fulfil count negative points against you. This is not the case for those that you don't play - any objective cards still in your deck at the end of the game are risk free in the sense that you can choose to claim the points from them if you succeeded, but don't have to score them if they would count against you.
So it's a balance - but generally you shouldn't be taking objectives you don't expect to be able to achieve, so it's usually better to play them!
(And don't forget, if you have multiple objective cards with the same criteria, you can't count the same "item" - eg cow card or building - against more than one objective card. You need multiples of the same thing to fulfil more than one objective of the same type.)