The volcano is a unique biome. It is a large mountain made out of stone, Ash Stone, Ash and lava. Caverns are found more often here in this biome. Survival in this biome would be difficult due to the lack of trees, impossibility of farming, and lack of passive mobs.
Be careful though. This volcano could explode at any time!
On the other hand, finding one can be useful due to the abundance of Ash, which can be made into coal. As of 1.8, it is now an ocean subiome.