Under the sea, mud volcanoes also occur in two types. The first is the same as those on land, built by natural gases. The second type is a major outlet for fluids released by subducting lithospheric plates. Scientists are only beginning to study them, most notably on the western side of the Marianas Trench region. See examples of all these types in the Mud Volcanoes Gallery.
"Mud" is actually a precise geological term. It refers to sediments made of a mixture of particles in the clay and silt size range. Thus a mudstone is not the same as a siltstone or claystone, though all three are types of shale. It's also used to refer to any fine-grained sediment that varies a lot from place to place, or whose exact composition isn't well determined.