These dynamic features are the result of groundwater that seeps down near magma and hot rocks well below the surface. The water becomes superheated and rises, transporting volcanic gasses and dissolved minerals along the way. At the surface the sudden decrease in pressure results in it turning to steam, releasing the foul-smelling sulfur compounds and colorful minerals that stain the ground.
In some places this superheated water bubbles up through puddles and ponds at the surface, creating acidic and scalding mudpots. These features are enough of a hazard that there are signs warning visitors not to walk through these areas. In the past people have fallen through the thin crust surrounding these pools and received third-degree burns from the boiling water hidden beneath.
Hydrothermal features like these are scattered across the globe. Within the US they can also be found at Yellowstone National Park, and I wrote about a particularly large fumarole at Yangmingshan National Park in Taiwan last December. If you ever find yourself near a place with hydrothermal activity, these exciting areas are worth seeing in person.