... Also, how would I know if a place has caves or not? Does every embark site have caves? Or is it just certain ones?
More questions, also:
1. Is there an estimate for about how deep the magma sea and cavern levels are? Is it even possible to estimate it?
...
Some of my worldgen comments & experiences regarding caverns, magma sea, etc:
So, by default, unless you're using advanced worldgen, as far as I know, every site will have three cavern layers before the HFS. Typically, just digging straight down through the center you have a pretty good chance of breaching all of them, but sometimes not, depending on their layout. You can control the depth of layers between the caverns, but typically not the Z levels 'thickness' of the caverns themselves (outside of some strange worldgen bugs)
Some caverns have higher openness, some have higher passage density. This affects their appearance, and is covered in the wiki. Again, barring some really unusual worldgen bugs (which you can still do) most caverns are exactly 5 Z levels high. You can make the open part of the caverns over 50Z levels high, but it's contrived. Some caverns have all plants/trees, some only have two or three types, and dry caverns only have bloodthorn trees and no plants in them. Not all embark locations have cavern water, but cavern water in at least some of them is required for a dwarven civ to form. In other words, if you set your cavern water to zero min/max, you'll never get a dwarven civ.
If you set "Z Levels above Ground" , "Z Levels above Layer 1" , "Z Levels above Layer 2" , "Z Levels above Layer 3" , "Z Levels above Layer 4" , "Z Levels above Layer 5", and "Z levels at bottom" to their minimum +1, using advanced worldgen, you'll have a very compact or thin world, given a few other conditions.
The other conditions are: no ocean, very few/no mountains, and a small world that's generally quite flat. Adding in huge mountain ranges and large oceans will create very thick worlds, sometimes several hundred Z levels thick.
So at that extreme, you could, for example, have an embark height of 160 on the surface, with -470 at the lowest depth, showing a world that is 630Z levels thick, with the magma sea well over 500Z levels away from the embark level.
On the other hand, you can have an embark level of 140, a single cavern, and a bottom of 124, with the magma sea on 129, meaning 11Z from embark level to magma forges. A short walk!
And that's all with vanilla DF, no raw editing.