GO ends a batch, you would only very rarely need to use it in code. Be aware that if you use it in a stored proc, no code after the GO will be executed when you execute the proc.
BEGIN and END are needed for any procedural type statements with multipe lines of code to process. You will need them for WHILE loops and cursors (which you will avoid if at all possible of course) and IF statements (well techincally you don't need them for an IF statment that only has one line of code, but it is easier to maintain the code if you always put them in after an IF). CASE statements also use an END but do not have a BEGIN.