How to change the move / calorie Activity goal on an Apple Watch?
The option is hidden behind a long/hard press - so not easily discoverable:


Tap on the Activity app from your Apple Watch's Home screen.
Swipe left until you see the Move ring.
Press firmly on the screen.
Tap on Change Move Goal.
Adjust your move goal to whatever you'd like and tap Update.


Source: How to set a calorie goal with Activity for Apple Watch

The calorie goal is the only configurable goal.