go build vs go install:

go build just compiles the executable file and moves it to the destination.
go install does a little bit more. It moves the executable file to
$GOPATH/bin and caches all non-main packages which are imported to
$GOPATH/pkg. The cache will be used during the next compilation provided the
source did not change yet.

A package tree after go build and go install:

.
├── bin
│   └── hello  # by go install
└── src 
    └── hello
        ├── hello  # by go build
        └── hello.go

More detailed information.