The mud volcanoes south of Baku, near Gobustan, are conical hills of dried grey clay that bubble continuously with cold, gas-saturated mud. They are caused by hydrocarbons rising from below the Caspian sediment, which is one reason the country has so much oil and gas: the same geology produces both. The volcanoes are not hot — you can touch the mud — but they are messy and the access roads are bad enough that you need either a 4x4 or a tour driver.
Most visits combine the volcanoes with the Gobustan petroglyphs into a single half-day trip from Baku. Stand at the rim of one of the larger cones and watch the mud belch and gurgle: it is one of the stranger landscapes in the country, and almost lunar.