Mostly what they want is to kill enough people to start the End Times War with the Anti Messiah.
“For certain true believers—the kind who long for epic good-versus-evil battles—visions of apocalyptic bloodbaths fulfill a deep psychological need. Of the Islamic State supporters I met, Musa Cerantonio, the Australian, expressed the deepest interest in the apocalypse and how the remaining days of the Islamic State—and the world—might look. Parts of that prediction are original to him, and do not yet have the status of doctrine. But other parts are based on mainstream Sunni sources and appear all over the Islamic State’s propaganda. These include the belief that there will be only 12 legitimate caliphs, and Baghdadi is the eighth; that the armies of Rome will mass to meet the armies of Islam in northern Syria; and that Islam’s final showdown with an anti-Messiah will occur in Jerusalem after a period of renewed Islamic conquest.”