Lava

Lava is, quite simply, molten rock. It can be found as a hazard in many parts of Mushroom World.

When Mario touches lava, it can scorch him terribly, causing him to run around, almost uncontrollably, in pain. In some instances, it may result in him losing some health (as seen in Super Mario 64 and Paper Mario), or instant death (as seen in Super Mario Sunshine and most 2D Mario games, such as Super Mario Bros. and Super Mario World). Even an Invincibility Star will not protect Mario from this deadly obstacle. The effect lava has on Bowser varies as well, ranging from not affecting him at all to actually killing him at least once. This could mean that there are different types or even temperatures of lava that differ from game to game.

Super Mario Sunshine
In Super Mario Sunshine, in addition to the lava found in Corona Mountain, the Goop painted by Bowser Jr. (a.k.a. Shadow Mario) with his Magic Paintbrush would occasionally contain traces of lava. This lava did not result in immediate death, but Mario would leap into the air uncontrollably, covering little horizontal distance. Therefore, if there is a lot of the lava goop when Mario touches it, death may still be inevitable.

Super Mario Galaxy
In Super Mario Galaxy, lava is found mainly in each Bowser and Bowser Jr. level, where it comprises most of the landscape (with a few exceptions of course). In fact, Bowser Jr.'s third level in Super Mario Galaxy is actually called Bowser Jr.'s Lava Reactor, and features considerably more lava than the other Bowser or Bowser Jr. levels. Other galaxies, while not entirely comprised of only lava, do rely heavily on the presence of lava as a major obstacle in some areas.

Super Mario Galaxy 2
In Super Mario Galaxy 2, the same applies for Bowser's first fortress in the game, Bowser's Lava Lair. Some galaxies between the two games consist entirely of lava-based obstacles, including the Melty Molten Galaxy and the Melty Monster Galaxy.

Mario Kart series
In the Mario Kart series, lava appears in many race courses. Falling into lava delays the racers, as they must wait for a Lakitu to pull them out.

Paper Mario series
Despite lava appearing in almost every Mario game (or almost every video game for that matter), the only time lava is seen in Paper Mario: The Thousand-Year Door is during two Bowser events; the first around Bowser's Castle, and the second in a stage reminiscent of Super Mario Bros.. Mario himself never encounters any lava at all. In Super Paper Mario, there is no lava at all, except for the lava around Bowser's Castle in the introduction screen.

Donkey Kong series
Lava is, like on Earth, a naturally occurring and dangerous substance in the Donkey Kong Universe.

Lava's first appearance in a Donkey Kong game was in Donkey Kong Country 2: Diddy's Kong Quest, where it was an obstacle found primarily in the area Crocodile Cauldron, a large volcanically active area.

In Donkey Kong Country 2's semi-sequel Donkey Kong Land 2, lava is slightly less common due to Crocodile Cauldron being fused together with the large and swampy Krem Quay to create Krem Cauldron.

In Donkey Kong Country 3: Dixie Kong's Double Trouble! lava makes a small appearance in the hidden world, Krematoa. Here, a small pond of lava can be seen and oddly enough, swam through after Krematoa's ancient volcano is re-activated.

This same pond of lava can be seen in Donkey Kong Land III, the pseudo Game Boy sequel of Donkey Kong Country 3.

Lava also appears in Donkey Kong 64, once again as an uncommon, yet dangerous obstacle.

Trivia

 * Contrary to popular belief, using a Fire Flower to transform into Fire Mario does not make Mario invincible to lava, and will damage him normally if entered.
 * On the other hand, collecting an Ice Flower will allow Ice Mario to skate across the surface of lava filled areas unscathed (only in Super Mario Galaxy, though).