I've also heard story's of goats getting shot and falling into areas that are almost impossible to get to. By the time they get to them the animal is wasted. As its only once in a life time i wouldn't want to remember it with a wasted animal and only have the horns to bring home.
They are also very tough animals. By buddies soaked up 2 well placed shots from a 300 weatherby and still walked over the nob to die. both bullets stopped in the hide on the opposing side distance was around 180 yards.