One threat I've heard of is "heavy gases" (Carbon dioxide, hydrogen sulfide, etc.) collecting in valleys or craters.
Normally gases on a volcano will simply blow away, but some gases, being heavier, will sink into low lying areas of the volcano. These gases can replace the oxygen in these areas and can lead to HAPE like symptoms. This is made worse if you have respiratory problems (such as asthma) or at high altitude where the oxygen levels are low anyway.
Hydrogen sulphide was actually used as a gas in World War I, so you can imagine this isn't going to be pleasant if you encounter a pocket of this.
I don't know how big an issue this will realistically be but it is a threat that you may want to be aware of. I would imagine this would depend on the terrain and the type of volcano you are on.
Some info here
Most gases from a volcano quickly blow away. However, heavy gases such
as carbon dioxide and hydrogen sulfide can collect in low-lying areas.
The most common volcanic gas is water vapor, followed by carbon
dioxide and sulfur dioxide. Sulfur dioxide can cause breathing
problems in both healthy people and people with asthma and other
respiratory problems. Other volcanic gases include hydrogen chloride,
carbon monoxide, and hydrogen fluoride. Amounts of these gases vary
widely from one volcanic eruption to the next.
Although gases usually
blow away rapidly, it is possible that people who are close to the
volcano or who are in the low-lying areas downwind may be exposed to
levels that may affect health. At low levels, gases can irritate the
eyes, nose, and throat. At higher levels, gases can cause rapid
breathing, headache, dizziness, swelling and spasm of the throat, and
To address your secondary question, Lakes, tending to be in low lying bowls or craters, could be particularly susceptible to this problem.
I also believe some of these gases when dissolved with water can produce some nasty chemicals. Hydrogen sulfide dissolved in water produces hydrosulfuric acid.