Transform's position wherever the mouse is pointing.

Questions & Answers
1

Ok, so I need to set the Transform position of a GameObject to the X and Z coordinates of wherever the Mouse is pointing.

I think there was a function for transforming screen coordinates (Mouse position) to World Coordinates, but I'm really unsure on how to do so.

2

There are lots of things to consider when doing this such as camera perspective distortion, etc, but the simple approach you seem to be describing would the ScreenToWorldPoint which converts a screen point to a world position on a plane parrallel to the clipping planes like this:

transform.position = Camera.main.ScreenToWorldPoint(Input.mousePosition);

but that will have a distance of 0 from the camera. You probably want something more like:

var screenPoint = Vector3(Input.mousePosition);
screenPoint.z = 10.0f; //distance of the plane from the camera
transform.position = Camera.main.ScreenToWorldPoint(screenPoint);
3

If the object is supposed to be constrained to the XZ plane (or any plane), another option would be to use Camera.ScreenPointToRay() to generate a picking ray, and then intersect it with the plane in question to yield the corresponding world position. (The Unity 'plane' struct has a raycast function that you can use for this.)