The Aeolian Islands are a volcanic archipelago just north of Sicily. All seven inhabited islands are of volcanic origin, and on most of them some volcanic activity can still be experienced.
Lipari is the largest island with the best tourist infrastructure and some superb black-sand beaches. Vulcano is the southernmost island, famous for its hot springs and sulphurous crater, and is best visited as a day trip from Lipari.
For real adventure, head to Stromboli. The volcano is still very active, and a hike to the top of the crater at night to watch the eruptions is an experience not to be missed. Bring warm clothing and a sleeping bag.