GO is like the end of a script.
You could have multiple CREATE TABLE statements, separated by GO. It's a way of isolating one part of the script from another, but submitting it all in one block.
BEGIN and END are just like { and } in C/++/#, Java, etc.
They bound a logical block of code. I tend to use BEGIN and END at the start and end of a stored procedure, but it's not strictly necessary there. Where it IS necessary is for loops, and IF statements, etc, where you need more then one step...
IF EXISTS (SELECT * FROM my_table WHERE id = @id)
BEGIN
INSERT INTO Log SELECT @id, 'deleted'
DELETE my_table WHERE id = @id
END