You can build things out of obsidian with a mould, like I did for my ice house; fill each layer with lava (so preferably near a portal to the Nether) and then tip water on it. If you have enough buckets it'll be much quicker than mining it all.
You can find lakes of lava on the surface, but they're not really volcanoes.
EDIT: I always thought using Minecarts was rather fiddly. But this is awesome:
http://www.youtube.com/watch?v=rTZB-...eature=related