Kanatia Volcano in Bomberman Hero, especially Magma Lake and Magma Dam; you take damage constantly when in the regular area, but you can avoid damage and regain life by entering little ice crystal zones.
The old SNES Swat Kats video game had one of these on the last level, as well. Complete with lava fireballs shooting up in circular patterns to be dodged/avoided.
Stage 4 of the already punishingUltimate Ghosts 'N Goblins for the PSP is a particularly enraging Lethal Lava Land called Scorch Mountain. The biggest threat here isn't even the lava — it's the frequent earthquakes from eruptions that stun you for 3 whole seconds! These can be avoided by simply flying*
Dragon Shield or Angelic Armor
to stay off the ground, but then there's Pterodactyls to deal with... Thankfully, this Stage has only one part before the boss.
Ditto for Stage 4 in the original Ghosts n' Goblins and Stage 3 in Super Ghouls n' Ghosts.
Stonefang Mines in Demon's Souls. Home to the Lizardmen, a draconic god, and home to That One Boss: the Balr- I mean, the Flamelurker.
Blood Omen: Legacy of Kain: Dark Eden, a land twisted beyond recognition in a project of the guardians of nature, energy, and states. And then it starts raining fire... This may not be a case of Convection Schmonvection, since Kain and the creatures there are all unnaturally resilient, and the world's foundations are rather loose by this point anyway. This trope is also used in the Dark World version of Nosgoth seen from Nupraptor's keep.
The sixth level in Bujingai: Swordmaster starts as a series of caverns which eventually brings you into a volcano. And you must reach the top in order to finish the level.
The inner circle of Atlantis in Indiana Jones and the Fate of Atlantis is a volcanic crater with fountains of lava pouring from the walls into the bottom of the crater and a massive god-producing machine in the very center.
A.I.M. (Artificial Intelligence Machine, or Mech Minds if you're Russian) has the Volcano sector, where one must avoid vapor geysers, electromagnetic fences, ravines, and lava lakes of varying sizes. Not to mention the hostile gliders, who are more powerful than previous sectors.
The planet Ortega in Space Quest III, which, much like the Io example below, has its surface constantly reshaped by volcanic eruptions. It's also lethal to land there without first putting on Thermo-Weave Underwear. And even then, a fall into the lava pits below nets you a Have a Nice Death.
Symphony of the Night's Catacombs area takes you so below the ground that at one point you go through a lava cavern. However, the lava is just part of the scenery. And then, in the Inverted Catacombs, there's a part with molten ice in the background. It's not water: it's weird.
Harmony of Dissonance has the Castle B version of the Treasury, which has volcanic backgrounds in the hallway areas.
Norfair in the Metroid games and Magmoor Caverns in Metroid Prime; notably, in many of the games, Samus is affected by the sheer heat until she acquires the Varia Suit.
Bryyo Fire in Metroid Prime 3 is a variation; instead of lava, you're in various refining and storage facilities for 'Fuel Gel', a highly flammable, lava-like form of liquid fuel. Most of the puzzles in the area use it in various ways.
Death Mountain in the Zelda games also fits this trope. In The Legend of Zelda: Ocarina of Time, the sheer heat of some of the areas does affect Link unless he has the Goron Tunic equipped. The underground land of Subrosia in Oracle Of Seasons also features copious lava.
The Legend of Zelda: Skyward Sword has Eldin Volcano. Strangely, while falling in lava does only one heart of damage, there's a room were Convection Schmonvectionis mentioned: your Exposition Fairy informs you that the walls are so hot you can't continue onwards without taking more damage than you have hearts (note that you can raft down the lava rivers on a floating rock without taking damage). Later this is rendered moot with earrings that protect you from heat (but not fire or lava).
The Soul Calibur fighting games often include a stage where the fighters are going at it on a rock floating in a river of lava. A ring-out involves the player falling in with a dramatic splash of flame, and yet they're perfectly fine come the next round.
In Godzilla Unleashed, the impact of evil space crystals causes Seattle to become one of these, with a volcano erupting next to the city and smothering much of it with lava as well as birthing Obsidius.
In World of Warcraft, you have Searing Gorge, Burning Steppes, and Shadowmoon Valley. There's also the Blackrock Mountain dungeon complex which, along with including the infamous Molten Core, has what appears to be a volcanic crater right in the entryway.
For that matter, the Dwarf capital city Ironforge has...well, a giant forge, filled with molten iron, right in the center. One would think the city would be a giant dutch oven, but you know what they say about that. Back in vanilla it was deadly to fall into, but now anybody can survive for long enough to teleport out from it using your Heartstone. Classes with healing capabilities and mages with their fire protection can survive indefinitely. And if you don't have any means to teleport out of there, magma becomes a MercySlap On The Wrist.
At some point they put up invisible walls to keep players from offing themselves in the forges.
Also, the starter instance of Ragefire Chasm.
Mount Hyjal in the Cataclysm expansion, the southern and lowest part of the zone has become Lethal Lava Land due to Ragnaros the Fire Lord re-emerging to burn the World Tree. Lakes of lava, walls of flame, islands of rock, elemental giants of magma and a rare volcanic turtle. Patch 4.2 introduced the Firelands raid dungeon and the Molten Front daily quest area, which are this trope all over.
The volcano zone of Monster Hunter is pretty much the Prehistoria volcano played straight. It does, however, avert Convection Schmonvection: without the right equipment, the player will take damage just by setting foot in the area.
Donkey Kong Jungle Beat has no less than four lava levels: Grim Volcano, Ancient Foundry, Lava Cavern and Magma Coliseum. Two of the bosses even take place in a volcanic environment!
Also most of the levels in Crocodile Cauldron from Donkey Kong Country 2, as well as one in the game's resident Lost World. However the lava in these levels is actually just a cosmetic coverup for Bottomless Pits, so you can touch the lava (using cartwheel + midair jump) without it actually harming you, so long as you don't cross that invisible line where you die.
The Mega Man X series has the stages of Flame Mammoth (X), Flame Stag (X2), Magma Dragoon (X4), Burn Dinorex (X5), Blaze Heatnix (X6), Flame Hyenard (X7), Burn Rooster (X8), and Mach Jentra (Command Mission).
Amusingly, Flame Mammoth's stage becomes a breeze if you defeat Chill Penguin first, as all the lava freezes over.
The first area of Stage 3 in Rocket Knight Adventures features a rising and falling tide of lava that actually has a reflective surface, as if it were water (read: it's not). This is played with shortly, as crystal formations obscure platforms above the lava and Sparkster himself from the player's view, forcing you to use the reflection in order to see the path and make the proper jumps to proceed.
Oddly enough, the more conventional lava found in the third area of the same stage hurts a lot, but doesn't instantly kill on contact.
In Rockman 4 Minus Infinity, Mega Man has to deal with two sections filled with lava in Pharaoh Man's level. Fortunately, the lava just damages Mega Man.
Sector 4, The Oven, from Jumper Three. Sector 4 in original Jumper also has shades of this, having a red background and a large number of fireballs.
Volcano Castle, Fire Field, and Lava Flow in Bonk's Revenge. The underground levels also have lava pits.
Arachnia in Bug!. So named because it's the spider Big Bad's lair, and it is filled with annoying spider Mooks. Besides that, expect loads of flaming rocks, fire ants (literally- they have fire breath), and instant-kill lava.
In Jables's Adventure, the final area you explore is Squidville, which is located in a volcano.
Act IV of Diablo 2 is fought in Hell, which is probably as Lethal Lava Land as you can get.
However, the lava actually behaves the same as walls and there is no way to step on it.
Diablo III has lava landscaping in several non-Hell areas, including Leoric's dungeons and the lower levels of Bastion's Keep. You can't fall into the pits, but a typical trap has periodically-erupting lava underneath a grate floor. Don't be standing there when it goes off.
Some of the Quest sub-levels on NetHack feature lava. And towards the end of the game the player has to pass through four "elemental" levels, one of which is fire, which of course means lava. If you have fireproof water-walking boots, you can stroll around on the stuff, and all those highly flammable scrolls will be just fine.
Although there was no lava, there was a desert in the first Golden Sun which fulfilled the same purpose. While walking on sand a meter steadily fills, and if it reaches full the party will take a shot of damage. Rinse and repeat. Speaking of rinse, the meter could be emptied by finding oases hidden by mirages in circles of stones.
A more direct example of a lava-filled environment is the underground portion of Taopo Swamp.
The second Golden Sun actually has "Magma Rock", filled with puzzles that involved altering the flow of... you guessed it, magma!
In a possible homage to World of Warcraft, the dwarf capital of Orzammar in Dragon Age: Origins is apparently set in a volcanic region, as are parts of the Deep Roads apparently at random. Oddly enough, the actual volcano you see the surface side of is quite safe. Aside from the Bonus Boss you can summon there.
Don't forget Mt. Chimney in Pokemon Ruby And Sapphire. In Emerald, they even added a cave underneath Mt. Chimney, filled with even more lava, and it actually comes with a lampshade from one of the Team Magma grunts!
Pokémon Black 2 and White 2 is at it again with Reversal Mountain, at least in White Version. In the other, the area is filled with water. It's no surprise you can find Heatran in there after you get the Magma Stone.
The Ys series has this in most of its games, eg Burnland/Moat of Burnedbless in II, the Ilvern/Alcaino Ruins in III/Oath, Fire Mountain in Mask of the Sun, the Lava Fields of Nelgal in Dawn of Ys, parts of the Ruins of Amnesia in The Ark of Napishtim, etc. In most cases, you can't even fall into the lava, due to Edge Gravity or insurmountable barriers.
A little different, but in Star Fox 64, Solar (the Sun) is a lethal lava land, and the intense heat causes you to steadily lose health. Your team members take damage too, but since they can't be healed mid-mission the level designers made it so they only take some heat damage near the beginning for some dramatic effect, otherwise they'd all be dead one-third of the way through the mission.
Certain parts of the DarkIce Mines are like this (particularly underground), as well as the Volcano Force Point Temple in Star Fox Adventures.
Oddly enough Fox only catches fire if he falls in the magma, yet does not die instantly or melt. Also, he is set ablaze, but if he can douse those flames, he'll be fine.
The Touhou series finally gets one in the 11th game, ''Subterranean
The Fire Stage in Gradius III, and the second half of the Volcanic Stage in Gradius IV. The Volcanic stages in most of the games, while they have erupting volcanoes, are more of standard Death Mountain or Underground Levels.
Marathon has a few of these, most notably "Fire! Fire! Fire! Fire! Fire!" in which you have to wade through lava and stay alive, and "Six Thousand feet Under, in which failure to avoid the lava results in death, along with a few in Marathon Infinity, particularly "Eat the Path" and "Whatever you please," which are both freakin' weird.
Many levels of Descent involved lava at some point. However, there was at least one level where the entire thing was lava. Being the first game, lava behaved differently.
The planet Brimspark in Descent II. And yes, the heat of the lava does drain your shields.
Dwarf Fortress lets you build a Lethal Lava Land. Not only does it give you a useful source of heat for forges and obsidian for building, it lets you drown your foes (or dwarves) in a sea (or river, or waterfall...) of molten rock.
Mech Warrior 3 has a geothermal plant right before the final mission, the mission before this one didn't have You relying on Heat sinks due to the snowstorm. Now You need a lot more than normal
Starcraft II has a level that floods with lava every few minutes. Just to be mean, all the resources are in areas that flood. In a nice touch, the local fauna is programmed to flee to higher ground in the seconds before the lava arrives, except for the Brutalisk, who may be more focused on killing your team than evacuating the flood. One achievement requires you to kill the Brutalisk in this fashion.
Devil Survivor: In later days, one of the areas, initially the Diet Building, becomes "contaminated" and lava-filled potholes will appear. You can't walk in them though. And later, when you fight Jeze-FUCKING-bel, the area in front of her is a lake-turned-lava-pool, and ending a character's turn in it will damage that character's team unless its party is immune to fire.
Barathrum from Total Annihilation, although this doesn't actually have much effect on game play aside from the fact that you can't build naval units given that the 'seas' are made of lava.
An official expansion pack for the miniature war game Heroscape gives you everything you need to design your very own Lethal Lava Land!
Some of the planes in Dungeons & Dragons fit this trope, particularly Gehenna, the Elemental Plane of Magma, and some layers of the Nine Hells. As usual, alternate-realities have their own laws of lava-physics to excuse Convection Schmonvection.