Creating a research agenda should be a major goal for all graduate students — regardless of theoretical interests, methodological preferences, or career aspirations. A research agenda helps you orient yourself toward both short- and long-term goals; it will guide your selection of classes, help you decide which academic conferences (and within those, which specific divisions) to engage in, and steer you in recruiting mentors and research collaborators.
What is a research agenda? It’s a plan and a focus on issues and ideas in a subset of your field. You cannot study everything in your field during your time in graduate school, so decide what to focus on now, and what to defer until another day.