Well, firstly its a good place for a fledgling overlord to emerge, who's going to risk their neck searching all the lands volcanos? Meanwhile the overlord builds his prowess and moves to somewhere safer
Secondly, lava makes for good moats
Thirdly, as long as its dormant you should be fairly safe, they tend to take a very, very long time to explode. Better yet, choose one that's extinct
Fourthly, the heat/magma has many uses that could be exploited by a cunning Keeper
The risk of the volcano exploding is also not too troublesome. If you are living inside the volcano you will likely be able to discover that its going to explode before it does, giving you ample time to evacuate and find somewhere else to set up shop.
And when it does explode, I get to move to an ice castle, when that collapses, I get to move back to the volcano that has now settled again and use it once more for teh evilz :D