In this case it truly is mere personal preference. Both are challenging dungeons to undertake. The Gurgu Volcano is where you will meet the second of the four fiends, and thus you must complete that soon enough. There are lots of lava floor tiles, so make sure you have plenty of means to heal yourself often.

The Ice Cave will be a little north from the volcano, along a different maze of water you navigate via canoe. There is a port a little to the north, on the same continent, from the village where you got the canoe. Some of the monsters in there will present a challenge for you, but it is a shorter dungeon and the boss is a lot easier to defeat. There are some damage floor tiles in there, as well, but not nearly as many as in the volcano.

The biggest benefit of doing one before the other is you find the protective armor of Ice in the Volcano (making it so your Fighter takes less damage in the Ice Cave) and the armor of Fire in the Ice Cave (making it so your Fighter takes less damage in the volcano). Apart from this, there is no real benefit to doing a certain one before the other. Just make sure you complete both before going too much further...