Your journey has brought you through desert, ice, and into space; what you desire is almost in hand - In the Gold Saucer Speed Square game, you go through desert, ice and space.
There are times you fall short of your goals, then you remember me, your last chance for success. - It's pretty hard to get a good high score, but shooting down the big spaceship nets a 1000 points (I think)
I am the light that guides the heroes home. - Spaceships have lots of lights?

Is it the big spaceship in the Speed Square mini-game at the Gold Saucer?