So, what are the pros and cons of embarking on one?
Obviously there is a extreme amount of magma available, so smelting ores and forging items out of metal would be a big thing.
With practically no trees or plants, how does one even start a fortress on a volcano? embark with enough wood to make some beds and other essential items requiring wood?
Would caravans be the main source of wood for this kind of fortress?
How does the high temperature affect the dwarfs and the fortress in general?
How difficult is it to establish the basic needs for a fortress on a volcano on a scale of 1-10?
The best volcano sites are ones that are located with sand in them as well. Setting up a few magma glassmaking workshops allows you to make anything you could want except for beds out of glass, making it much easier to survive then a normal fortress. You can even just crank out large numbers of green glass giant corkscrews for weapon traps as well for an early yet nearly impenetrable trap defense system. As for wood, since both bins and pots can be made out of glass as well as wood, the only real thing you need it for is beds, a need that can be easily remedied by caravans. Also the lack of surface plants doesn't make that much of a difference if you tend to embark with a bag of seeds for your main food crop anyways. As for the temperature, volcanoes don't have any effect on the temperature around them save for what is directly next to the lava, and even that doesn't effect the dwarves until they are touching the lava itself.
So to put it short, sand+lava=lots of green glass, no need for wood except for beds, and a rather powerful easy trap set-up, as well as early access to magma. Difficulty of a volcano+sand embark, 3 of 10 (with 1 being a benign plain with a brook, 10 being savage evil ocean salt aquifer, and 5 being the average embark).