Broadly, values are things you want, prefer, or take action to gain or keep.
Usually, values refers to important, major values. Like your moral ideas, character, principles, big goals in life, and ideas about what kind of society you prefer.
Values are generally grouped together. Rather than having a bunch of different values, held individually, people look for some broader themes to tie their values together. They want an integrated system of values.
Although people would deny it, they rarely put much thought into their values. They pick up values from parents, church, educators, peers, and their culture in general. They don't extensively study what value systems are possible, why some are better than others, how to judge abstract ideas, how to do critical thinking, and so on, in order to have better values. They don't learn to be really good at philosophical argument (not rhetoric, not persuading a crowd, but serious written scholarship) to better judge the arguments between value systems.
Take responsibility for your values. Make them something you think through and devote attention to, not something unchosen.
It's important to value things in life. You should do something, think something, have some opinion. Some things should make a difference to you. Care about something. Prefer somethings and not others. Choose something over something else.
If you didn't have any values, it'd be kinda like you aren't really there in life. You wouldn't be an active part of the world. You'd be more like a rock. Grass doesn't have values. The ocean doesn't have values.
Actions need values to guide them. If you have no goals or preferences of any kind, why act?
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Acknowledgments: some ideas presented are modified from, or inspired by, ideas from Karl Popper, Ayn Rand, David Deutsch and William Godwin. Thank you!