Whatsthatcomin,
There are 3 main resorts on the island. Generally speaking Playa Blanca is a quiet resort and Puerto Del Carmen is a livelier resort (but not by the standards of Playa De Las Americas for example), Costa Teguise is somewhere in between.
It's a matter of personal preference which one you prefer.
There's plenty of ATMs in the resorts, not so many out of town though.
There is a bus service between the towns of Costa Teguise, Arrecife, Puerto Del Carmen and Playa Blanca, but as far as I know there is no service from the airport (hard to believe, but I think that's the case). Other than the route I mentioned above I don't think there's anything else, it's walk, cycle, taxi or car hire (which is cheap).
As for specifics of where to jog, bars and restaurants, it'd depend which resort you choose. Certainly PB and PDC have good places to jog, I'm sure CT does as well, just not familiar with it.
Cheers - Ole

Thanks.

At the moment it's looking like Costa Teguise.

Do you know anything about a volcano that's worth a visit, and where it is?

That will be Timanfaya.

If you use the search function top of the page and search the Lanzarote forum most items are covered.

Here's a past post regarding the Volcano :

http://www.holidaytruths.co.uk/viewtopic.php?t=5287&highlight=volcano