Embodied AI Agents are quickly becoming important and common tools in society. These embodied agents should be able to learn about and accomplish a wide range of user goals and preferences efficiently and robustly. Large Language Models (LLMs) are often used as they allow for opportunities for rich and open-ended dialog type interaction between the human and agent to accomplish tasks according to human preferences. In this thesis, we argue that for embodied agents that deal with open-ended dialog during task assistance: 1) AI Agents should extract goals from conversations in the form of Natural Language (NL) to be better at capturing human preferences as it is intuitive for humans to communicate their preferences on tasks to agents through natural language. 2) AI Agents should quantify/maintain uncertainty about these goals to ensure that actions are being taken according to goals that the agent is extremely certain about. We present an online method for embodied agents to learn and accomplish diverse user goals. While offline methods like RLHF can represent various goals but require large datasets, our approach achieves similar flexibility with online efficiency. We extract natural language goal representations from conversations with Large Language Models (LLMs). We prompt an LLM to role play as a human with different goals and use the corresponding likelihoods to run Bayesian inference over potential goals. As a result, our method can represent uncertainty over complex goals based on unrestricted dialog. We evaluate in a text-based grocery shopping domain and an AI2Thor robot simulation. We compare our method to ablation baselines that lack either explicit goal representation or probabilistic inference.