Well, looks like I have a couple of things to explain this time!

First, goblins. In Exalted, goblins are a type of Fae, also known as the Fair Folk (people think of the more beautiful examples when they use that term, though). I won't explain much about them now, but I will explain what Misho's thinking of when he says "almost literally"; to survive in Creation for any length of time the Fae have to take a set shape. Unable to create their own, though, they take shapes from human dreams and stories. Goblins, as the low-class warriors, take shapes reminiscent of various trolls, ogres, bogeymen and so forth, hence "the nightmares of small children".

Second, Intimacies. This is an aspect of Exalted's game mechanics. Particularly in Second Edition, Exalted has detailed mechanics on "social combat" - the process used in deciding the outcome of persuasion, intimidation, seduction, magical mind control and so forth. "Intimacies" are things which the character has a close bond to, such as causes, people, enemies and so forth, and it's harder to persuade someone to do something if it's against one of their Intimacies. Characters with high Compassion (like Misho) get to start with more Intimacies and can have more of them at any one time, even though Intimacies can be both positive and negative.

Oh, and Compassion is one of the four Virtues, which are used to roughly describe your character's personality in a mechanical way. :P

Finally, "Middlemarches" (along with the term used in an earlier comic, "Bordermarches") are words used to describe the approximate level of Wyld corruption in an area. The Wyld is the infinite possibility/chaos/unreality/everything/nothing (it's hard to describe) that surrounds Creation on all sides, and where the Fair Folk come from originally.